On uniqueness of equilibrium in the Kyle model
A longstanding unresolved question is whether the one-period Kyle model of an informed trader and a noisily informed market maker has an equilibrium that is different from the closed-form solution derived by Kyle (Econometrica 53:1315–1335, 1985). This note advances what is known about this open problem.
|Collections||ANU Research Publications|
|Source:||Mathematics and Financial Economics|
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