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On uniqueness of equilibrium in the Kyle model

McLennan, Andrew; Monteiro, Paulo Klinger; Tourky, Rabee

Description

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.

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
URI: http://hdl.handle.net/1885/218285
Source: Mathematics and Financial Economics
DOI: 10.1007/s11579-016-0175-7

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