Is Kyle's equilibrium model stable?

DOI10.1007/S11579-024-00364-0MaRDI QIDQ6655909zbMATH OpenFDO

Authors Umut Cetin, Kasper Green Larsen

Publication date 27 December 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11579-024-00364-0

zbMATH Keywords

fixed pointsinformed tradingmarket microstructure theorystability

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• On uniqueness of equilibrium in the Kyle model
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Cites work

• An Introduction to Numerical Analysis
• Continuous Auctions and Insider Trading
• Differential Equations: Theory and Applications
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 605438 (Why is no real title available?)
• Iterative approximation of fixed points
• Knightian games and robustness to ambiguity
• On the Strategic Stability of Equilibria
• Robustness of equilibrium in the Kyle model of informed speculation

Cited in

(1)

• Insider trading in discrete time Kyle games

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