Strategic Trading of Informed Trader with Monopoly on Short- and Long-Lived Information

Chanwoo Noh and Sungsub Choi
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Chanwoo Noh: Department of Mathematics, Pohang University of Science and Technology
Sungsub Choi: Department of Finance, National Chung Cheng University

Annals of Economics and Finance, 2009, vol. 10, issue 2, 351-365

Abstract: In his seminal paper, Kyle (1985) analyzed a market model with an informed trader who has monopoly on long-lived information. We consider a market with the same participants as in Kyle's, but where the informed trader has monopoly on two types of information, long-lived one and short-lived one. A necessary and sufficient condition for a market equilibrium in the form of a difference equation system is found, and a method of calculating a solution is suggested. The strategic behavior of the informed trader is analyzed with the emphasis on the interactive effect of the two types of information.

Keywords: Kyle model; Informed trader, Short- and long-lived information; Market equilibrium (search for similar items in EconPapers)
JEL-codes: D82 G14 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2009:v:10:i:2:p:351-365

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