On uniqueness of equilibrium in the Kyle model

DOI10.1007/S11579-016-0175-7MaRDI QIDQ513743zbMATH OpenOpenAlexFDO

Authors Andrew McLennan, Paulo Monteiro, R. Tourky

Publication date 7 March 2017

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10438/13028

zbMATH Keywords

optimal tradinganalytic functionsKyle modelinformed trader

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50) Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 1424807 (Why is no real title available?)
• Basic complex analysis. A comprehensive course in analysis, part 2A
• Continuous Auctions and Insider Trading
• On the aggregation of information in competitive markets
• Sliced Inverse Regression for Dimension Reduction

Cited in

(10)

• Is Kyle's equilibrium model stable?
• Financial equilibrium with asymmetric information and random horizon
• Insider trading with different risk attitudes
• Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading
• Robustness of equilibrium in the Kyle model of informed speculation
• A characterization of the distributions that imply existence of linear equilibria in the Kyle-model
• Insider trading with penalties
• Existence and uniqueness of a steady state for an OTC market with several assets
• Is having a unique equilibrium robust?
• Kyle equilibrium under random price pressure

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