A Characterization of the Distributions That Imply Existence of Linear Equilbria in the Kyle-Model

Georg Nöldeke () and Thomas Troger ()

Bonn Econ Discussion Papers from University of Bonn, Germany

Abstract: The existence of a linear equilibrium in Kyle's model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been shown for the case in which the random variables are independent and have finite second moments. Here we extend this result to the case in which the underlying random variables are not necessarily independent and their joint distribution is determined by its moments.

Keywords: Market Microstructure; Kyle Model; Linear Equilibria; Elliptical Distributions (search for similar items in EconPapers)
JEL-codes: G14 D82 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-05
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Related works:
Working Paper: A Characterization of the Distributions That Imply Existence of Linear Equilibria in the Kyle-Model (2005)
Journal Article: A characterization of the distributions that imply existence of linear equilibria in the Kyle-model (2006)
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