Kyle equilibrium under random price pressure
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Cites work
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- A general maximum principle for anticipative stochastic control and applications to insider trading
- A general stochastic calculus approach to insider trading
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
- Additional logarithmic utility of an insider
- Additional utility of insiders with imperfect dynamical information
- Anticipative portfolio optimization
- Asymmetric information and imperfect competition in a continuous time multivariate security model
- Continuous Auctions and Insider Trading
- Continuous auctions and insider trading: uniqueness and risk aversion
- Equilibrium model with default and dynamic insider information
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Information in Securities Markets: Kyle Meets Glosten and Milgrom
- Insider Trading in a Continuous Time Market Model
- Insider trading equilibrium in a market with memory
- Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
- Insider trading with a random deadline
- Insider trading, stochastic liquidity, and equilibrium prices
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- Lévy Processes and Stochastic Calculus
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Models for Insider Trading with Finite Utility
- Optimal consumption choices for a `large' investor
- Optimal insider control and semimartingale decompositions under enlargement of filtration
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Partially informed noise traders
- Stock market insider trading in continuous time with imperfect dynamic information
- Strategic insider trading equilibrium: a filter theory approach
- The value of foresight
Cited in
(5)- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Is Kyle's equilibrium model stable?
- Financial equilibrium with asymmetric information and random horizon
- On pricing rules and optimal strategies in general Kyle-Back models
- Kyle-back models with risk aversion and non-Gaussian beliefs
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