内容提示: Continuous Auctions and Insider TradingAlbert S. KyleEconometrica, Vol. 53, No. 6. (Nov., 1985), pp. 1315-1335.Stable URL:http://links.jstor.org/sici?sici=0012-9682%28198511%2953%3A6%3C1315%3ACAAIT%3E2.0.CO%3B2-8Econometrica is currently published by The Econometric Society....
namely price processes that allow the price to depend in a certain way on the path of the market order. Ano expected (or inconspicuous insider) trade theorem\/ is satisfied regardless of how much the informed agent is
noise traders对insiders行为,市场流动性和市场有效性的影响;noise signal对insiders行为,市场流动性和市场有效性的影响;price如何反映signal和aggregate signal
Interactionbetweeninsiderandmaker •insiderchoosestradingquantityXto maxmizehisexpectedprofit •XinfluencespriceP •Pinfluenceinsidersprofits •Sequentialgame:sequentialauctions PartI:Asingleauction •Risksasset: •Noisetradingquantity: •Step1: •Step2:marketmaker Definitionofequilibrium Equilibrium Prop...
1985_Continuous_Auctions_and_Insider_Trading
Insider maximizes his profits of both the Insider maximizes his profits of both the current auction and future auctions when current auction and future auctions when placing market orders each time. placing market orders each time. Noise trading amount u follow a Brownian Noise trading amount u...
A dynamic model of insider trading with sequential auctions, structured to resemble a sequential equilibrium, is used to examine the informational content of prices, the liquidity characteristics of a speculative market, and the value of private information to an insider. The model has three kinds ...
CONTINUOUS AUCTIONSEQUILIBRIUMSTRATEGIESLIQUIDITYMARKETSIn a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces an output consistent with several empirical stylized facts such as ...
I examine the relative performance of call and continuous auctions under asymmetric information by manipulating trading rules and information sets in laboratory asset markets. I find significant differences in an environment that extends the Kyle (1985) framework to permit the exogenous liquidity trading ...
insider tradingrisk-seekingpartial observationHJBlinear Bayesian equilibriumCONTINUOUS AUCTIONSEQUILIBRIUMIn this paper, a continuous-time insider trading model is investigated in which an insider is risk-seeking and market makers may receive partial information on the value of a risky asset. With the ...