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

Bayesian Nash equilibriuminformationinformed speculationmarket microstructurerobustnessuniqueness

Mathematics Subject Classification ID

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

Recommendations

• On uniqueness of equilibrium in the Kyle model
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Cites work

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

Cited in

(10)

• Stock markets fragmentation, volatility and final investors
• Kyle equilibrium under random price pressure
• On uniqueness of equilibrium in the Kyle model
• Existence of linear equilibria in the Kyle model with multiple informed traders
• Is Kyle's equilibrium model stable?
• Kyle v. Kyle ('85 v. '89)
• A characterization of the distributions that imply existence of linear equilibria in the Kyle-model
• Strategic competition between insiders with public information and overconfident market makers
• Review of the single-period Kyle model (1985): foundations, extensions, and interdisciplinary futures
• Financial innovation and risk: the role of information

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