Insider Trading, Stochastic Liquidity, and Equilibrium Prices
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Publication:4613429
DOI10.3982/ECTA10789zbMath1420.91544MaRDI QIDQ4613429
Pierre Collin Dufresne, Vyacheslav Fos
Publication date: 31 January 2019
Published in: Econometrica (Search for Journal in Brave)
volume; stochastic volatility; asymmetric information; insider trading; Kyle model; continuous time; liquidity; price impact; subordinate process; market depth; execution costs
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