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

Georg Nöldeke and Thomas Tröger
Authors registered in the RePEc Author Service: Thomas Troeger

Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich

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