THE GLOSTEN–MILGROM AND KYLE MODELS

Peter Joakim Westerholm

Chapter 17 in Lecture Notes in Market Microstructure and Trading, 2019, pp 249-254 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:AssignmentModelsThe Glosten–Milgrom (1985) ModelThe Kyle (1985) ModelRecent Work

Keywords: Trading; Securities Markets; Priced Discovery; Liquidity; Microstructure; Investments (search for similar items in EconPapers)
JEL-codes: F10 (search for similar items in EconPapers)
Date: 2019
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