Kyle equilibrium under random price pressure

José Manuel Corcuera (), Giulia Nunno () and José Fajardo ()
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José Manuel Corcuera: Universitat de Barcelona
Giulia Nunno: University of Oslo

Decisions in Economics and Finance, 2019, vol. 42, issue 1, No 6, 77-101

Abstract: Abstract We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev Financ Stud 5(3):387–409, 1992). The novelty of this paper is that we consider a framework where the price pressure can be random. We also allow for a random release time of the fundamental value of the asset. This framework includes all the particular Kyle models proposed in the literature. The results enlighten the equilibrium properties shared by all these models and guide the way of finding equilibria in this context.

Keywords: Kyle model; Market microstructure; Equilibrium; Insider trading; Stochastic control; Enlargement of filtrations; 60G35; 62M20; 93E10; 94Axx (search for similar items in EconPapers)
JEL-codes: C61 D43 D44 D53 G11 G12 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10203-019-00231-4

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