Insider Trading, Stochastic Liquidity, and Equilibrium Prices

DOI10.3982/ECTA10789zbMath1420.91544MaRDI QIDQ4613429

Vyacheslav Fos, Pierre Collin Dufresne

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta10789

zbMATH Keywords

volume; stochastic volatility; asymmetric information; insider trading; Kyle model; continuous time; liquidity; price impact; subordinate process; market depth; execution costs

Mathematics Subject Classification ID

91B44: Economics of information

91G99: Actuarial science and mathematical finance

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