Robustness of equilibrium in the Kyle model of informed speculation

DOI10.1007/S10436-015-0264-2MaRDI QIDQ902174zbMATH OpenOpenAlexFDO

Authors Alex Boulatov, Dan Bernhardt

Publication date 7 January 2016

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/70191/1/WRAP_Robust_DB_2015_June19_1%20%252800000002%2529.pdf

zbMATH Keywords

informationrobustnessuniquenessmarket microstructureBayesian Nash equilibriuminformed speculation

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Rationality and learning in game theory (91A26)

Recommendations

• On uniqueness of equilibrium in the Kyle model
• Existence of linear equilibria in the Kyle model with multiple informed traders
• Insider Trading without Normality
• Robust pricing under strategic trading
• Information in Securities Markets: Kyle Meets Glosten and Milgrom

Cites work

• scientific article; zbMATH DE number 3372755 (Why is no real title available?)
• Consistency of beliefs and epistemic conditions for Nash and correlated equilibria
• Continuous Auctions and Insider Trading
• Knightian games and robustness to ambiguity

Cited in

(8)

• Is Kyle's equilibrium model stable?
• Financial innovation and risk: the role of information
• A characterization of the distributions that imply existence of linear equilibria in the Kyle-model
• Kyle v. Kyle ('85 v. '89)
• Stock markets fragmentation, volatility and final investors
• Existence of linear equilibria in the Kyle model with multiple informed traders
• On uniqueness of equilibrium in the Kyle model
• Kyle equilibrium under random price pressure

This page was built for publication: Robustness of equilibrium in the Kyle model of informed speculation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q902174)