A nonlinear version of the Kyle [1985] model is studied. If linear structure might work for small orders, it would hardly be the case for large orders. No restriction is made neither on the form of equilibrium nor on the probability distribution of the ex-ante asset value. Equilibrium is...

The Kyle (1985) and Back (1992) model of continuous-time asset pricing with asymmetric information is studied. A larger class of price processes is considered, namely price processes that allow the price to depend in a certain way on the path of the market order. A no expected (or inconspicuous...