Risk-averse insider trading in multi-asset sequential auction markets

Paolo Vitale

Economics Letters, 2012, vol. 117, issue 3, 673-675

Abstract: We extend Kyle’s (1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on several risky assets. The insider trades aggressively and so that the price impact of order flow is symmetric across assets.

Keywords: Risk-aversion; Sequential auction markets; Long-lived private information (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:673-675

DOI: 10.1016/j.econlet.2012.08.030

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