Robustness of equilibrium in the Kyle model of informed speculation
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DOI: 10.1007/s10436-015-0264-2
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- Alex Boulatov & Dan Bernhardt, 2015. "Robustness of equilibrium in the Kyle model of informed speculation," Annals of Finance, Springer, vol. 11(3), pages 297-318, November.
References listed on IDEAS
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Barelli, Paulo, 2009. "Consistency of beliefs and epistemic conditions for Nash and correlated equilibria," Games and Economic Behavior, Elsevier, vol. 67(2), pages 363-375, November.
- Stauber, Ronald, 2011. "Knightian games and robustness to ambiguity," Journal of Economic Theory, Elsevier, vol. 146(1), pages 248-274, January.
Citations
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Cited by:
- Umut Çetin & Kasper Larsen, 2024. "Is Kyle’s equilibrium model stable?," Mathematics and Financial Economics, Springer, volume 18, number 3, February.
- Cécile Bastidon, 2017.
"Stock markets fragmentation, volatility and final investors,"
Annals of Finance, Springer, vol. 13(4), pages 435-451, November.
- Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Post-Print hal-03318507, HAL.
- Umut Cetin & Kasper Larsen, 2023. "Is Kyle's equilibrium model stable?," Papers 2307.09392, arXiv.org, revised Jul 2023.
- Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021. "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers 2103.04481, arXiv.org.
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More about this item
Keywords
Market microstructure; Informed speculation; Bayesian Nash equilibrium; Uniqueness; Robustness; Information; G12; G14; C62;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
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