Kyle equilibrium under random price pressure
DOI10.1007/S10203-019-00231-4zbMATH Open1426.91315OpenAlexW2913794616WikidataQ128483805 ScholiaQ128483805MaRDI QIDQ2331003FDOQ2331003
Authors: José Manuel Corcuera, Giulia Di Nunno, José Fajardo 
Publication date: 23 October 2019
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/74872
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equilibriumstochastic controlmarket microstructureinsider tradingKyle modelenlargement of filtrations
Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)
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Cited In (5)
- Kyle-back models with risk aversion and non-Gaussian beliefs
- Financial equilibrium with asymmetric information and random horizon
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Is Kyle's equilibrium model stable?
- On pricing rules and optimal strategies in general Kyle-Back models
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