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Insider Trading in Continuous Time

Citations

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Cited by:

  1. Huang, Roger D. & Masulis, Ronald W., 2003. "Trading activity and stock price volatility: evidence from the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 249-269, May.
  2. Pei Peter Lung & Pisun Xu, 2014. "Tipping and Option Trading," Financial Management, Financial Management Association International, vol. 43(3), pages 671-701, September.
  3. Banerjee, Snehal & Green, Brett, 2015. "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, vol. 117(2), pages 398-423.
  4. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
  5. Liu, Hong & Qi, Lina & Li, Zaili, 2019. "Insider trading, representativeness heuristic insider, and market regulation," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 48-64.
  6. Medrano, Luis Angel & Vives, Xavier, 2001. "Strategic Behavior and Price Discovery," RAND Journal of Economics, The RAND Corporation, vol. 32(2), pages 221-248, Summer.
  7. Dan Bernhardt & P. Seiler & B. Taub, 2010. "Speculative dynamics," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 44(1), pages 1-52, July.
  8. Hong, Harrison & Rady, Sven, 2002. "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, vol. 5(4), pages 419-450, October.
  9. Kim, Donghan & Kim, Jun Sik & Seo, Sung Won, 2018. "What options to trade and when: Evidence from seasoned equity offerings," Journal of Financial Markets, Elsevier, vol. 37(C), pages 70-96.
  10. Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, vol. 6(4), pages 539-571, August.
  11. Bernhardt, Dan & Hughson, Eric, 2002. "Intraday trade in dealership markets," European Economic Review, Elsevier, vol. 46(9), pages 1697-1732, October.
  12. Cujean, Julien, 2020. "Idea sharing and the performance of mutual funds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 88-119.
  13. Back, Kerry & Pedersen, Hal, 1998. "Long-lived information and intraday patterns," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 385-402, September.
  14. Föllmer, Hans & Wu, Ching-tang & Yor, Marc, 1998. "Canonical decomposition of linear transformations of two independent Brownian motions," SFB 373 Discussion Papers 1998,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  15. Luciano Campi & Umut c{C}etin & Albina Danilova, 2012. "Dynamic Markov bridges motivated by models of insider trading," Papers 1202.2980, arXiv.org.
  16. Çetin, Umut & Waelbroeck, Henri, 2023. "Power laws in market microstructure," LSE Research Online Documents on Economics 120809, London School of Economics and Political Science, LSE Library.
  17. Ernst, Philip A. & Rogers, L.C.G. & Zhou, Quan, 2017. "The value of foresight," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3913-3927.
  18. Umut c{C}etin & Albina Danilova, 2014. "Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems," Papers 1407.2420, arXiv.org, revised Sep 2016.
  19. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
  20. Dridi, Ramdan & Germain, Laurent, 2004. "Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(4), pages 873-886, December.
  21. Saikat Nandi, 1995. "Asymmetric information about volatility and option markets," FRB Atlanta Working Paper 95-19, Federal Reserve Bank of Atlanta.
  22. Imkeller, Peter & Pontier, Monique & Weisz, Ferenc, 2001. "Free lunch and arbitrage possibilities in a financial market model with an insider," Stochastic Processes and their Applications, Elsevier, vol. 92(1), pages 103-130, March.
  23. Gur Huberman & Werner Stanzl, 2005. "Optimal Liquidity Trading," Review of Finance, European Finance Association, vol. 9(2), pages 165-200.
  24. Bondarenko, Oleg, 2001. "Competing market makers, liquidity provision, and bid-ask spreads," Journal of Financial Markets, Elsevier, vol. 4(3), pages 269-308, June.
  25. Maxim Bichuch & Zachary Feinstein, 2020. "Endogenous inverse demand functions," Papers 2012.08002, arXiv.org, revised Apr 2022.
  26. Anna Obizhaeva, 2007. "Liquidity Estimates and Selection Bias," Working Papers w0225, New Economic School (NES).
  27. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
  28. Christoph Kuhn & Christopher Lorenz, 2023. "Insider trading in discrete time Kyle games," Papers 2312.00904, arXiv.org, revised Jul 2024.
  29. Joel Vanden, 2015. "Noisy information and the size effect in stock returns," Annals of Finance, Springer, vol. 11(1), pages 77-107, February.
  30. Cetin, Umut & Xing, Hao, 2013. "Point process bridges and weak convergence of insider trading models," LSE Research Online Documents on Economics 48745, London School of Economics and Political Science, LSE Library.
  31. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  32. Mengütürk, Levent Ali, 2018. "Gaussian random bridges and a geometric model for information equilibrium," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 465-483.
  33. Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020. "Realized Semicovariances," Econometrica, Econometric Society, vol. 88(4), pages 1515-1551, July.
  34. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(4), pages 499-518, December.
  35. Campi, Luciano & Çetin, Umut & Danilova, Albina, 2011. "Dynamic Markov bridges motivated by models of insider trading," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 534-567, March.
  36. Noldeke, Georg & Troger, Thomas, 2001. "Existence of linear equilibria in the Kyle model with multiple informed traders," Economics Letters, Elsevier, vol. 72(2), pages 159-164, August.
  37. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc.
  38. Campi, Luciano & Cetin, Umut & Danilova, Albina, 2011. "Dynamic Markov bridges motivated by models of insider trading," LSE Research Online Documents on Economics 31538, London School of Economics and Political Science, LSE Library.
  39. Dimitri Vayanos, 2001. "Strategic Trading in a Dynamic Noisy Market," Journal of Finance, American Finance Association, vol. 56(1), pages 131-171, February.
  40. Çetin, Umut, 2018. "Financial equilibrium with asymmetric information and random horizon," LSE Research Online Documents on Economics 84495, London School of Economics and Political Science, LSE Library.
  41. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
  42. Kerry Back & Tao Li & Alexander Ljungqvist, 2013. "Liquidity and Governance," NBER Working Papers 19669, National Bureau of Economic Research, Inc.
  43. Roberto Monte & Barbara Trivellato, 2009. "An equilibrium model of insider trading in continuous time," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 83-128, November.
  44. Kerry Back & Pierre Collin‐Dufresne & Vyacheslav Fos & Tao Li & Alexander Ljungqvist, 2018. "Activism, Strategic Trading, and Liquidity," Econometrica, Econometric Society, vol. 86(4), pages 1431-1463, July.
  45. Gur Huberman & Werner Stanzl, 2000. "Optimal Liquidity Trading," Yale School of Management Working Papers ysm165, Yale School of Management, revised 01 Aug 2001.
  46. Saikat Nandi, 2000. "Asymmetric information about volatility: How does it affect implied volatility, option prices and market liquidity?," Review of Derivatives Research, Springer, vol. 3(3), pages 215-236, October.
  47. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
  48. Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
  49. Umut c{C}etin & Alaina Danilova, 2022. "Order routing and market quality: Who benefits from internalisation?," Papers 2212.07827, arXiv.org.
  50. Baruch, Shmuel, 2002. "Insider trading and risk aversion," Journal of Financial Markets, Elsevier, vol. 5(4), pages 451-464, October.
  51. Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi, 2012. "Derivatives traders’ reaction to mispricing in the underlying equity," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2438-2454.
  52. Shino Takayama, 2013. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 492, School of Economics, University of Queensland, Australia.
  53. Jos'e M. Corcuera & Giulia Di Nunno, 2020. "Path-dependent Kyle equilibrium model," Papers 2006.06395, arXiv.org, revised Oct 2022.
  54. Dolinsky, Yan & Zouari, Jonathan, 2021. "The value of insider information for super-replication with quadratic transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 394-416.
  55. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao, 2023. "Short selling, divergence of opinion and volatility in the corporate bond market," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  56. Derviz, Alexis, 2004. "Asset return dynamics and the FX risk premium in a decentralized dealer market," European Economic Review, Elsevier, vol. 48(4), pages 747-784, August.
  57. Föllmer, Hans & Wu, Ching-Tang & Yor, Marc, 1999. "Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading," Stochastic Processes and their Applications, Elsevier, vol. 84(1), pages 137-164, November.
  58. Takayama, Shino, 2021. "Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  59. Umut c{C}etin & Hao Xing, 2012. "Point process bridges and weak convergence of insider trading models," Papers 1205.4358, arXiv.org, revised Jan 2013.
  60. Cetin, Umut & Danilova, Albina, 2021. "On pricing rules and optimal strategies in general Kyle-Back models," LSE Research Online Documents on Economics 113003, London School of Economics and Political Science, LSE Library.
  61. Pierre Collin-Dufresne & Vyacheslav Fos, 2013. "Moral Hazard, Informed Trading, and Stock Prices," NBER Working Papers 19619, National Bureau of Economic Research, Inc.
  62. Pierre Collin‐Dufresne & Vyacheslav Fos, 2016. "Insider Trading, Stochastic Liquidity, and Equilibrium Prices," Econometrica, Econometric Society, vol. 84(4), pages 1441-1475, July.
  63. Luciano Campi & Umut Çetin & Albina Danilova, 2013. "Equilibrium model with default and dynamic insider information," Finance and Stochastics, Springer, vol. 17(3), pages 565-585, July.
  64. Werner Stanzl & Gur Huberman, 2000. "Arbitrage-Free Price-Update and Price-Impact Functions," Yale School of Management Working Papers ysm164, Yale School of Management, revised 01 Jan 2001.
  65. Cujean, Julien, 2018. "Idea Sharing and the Performance of Mutual Funds," CEPR Discussion Papers 13111, C.E.P.R. Discussion Papers.
  66. Jin Hyuk Choi & Heeyoung Kwon & Kasper Larsen, 2022. "Trading constraints in continuous-time Kyle models," Papers 2206.08117, arXiv.org.
  67. Li, Cheng & Xing, Hao, 2015. "Asymptotic Glosten-Milgrom equilibrium," LSE Research Online Documents on Economics 60579, London School of Economics and Political Science, LSE Library.
  68. Reda Chhaibi & Ibrahim Ekren & Eunjung Noh & Lu Vy, 2022. "A unified approach to informed trading via Monge-Kantorovich duality," Papers 2210.17384, arXiv.org.
  69. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
  70. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
  71. Shino Takayama, 2018. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 603, School of Economics, University of Queensland, Australia.
  72. Ekström, Erik & Vaicenavicius, Juozas, 2020. "Optimal stopping of a Brownian bridge with an unknown pinning point," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 806-823.
  73. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
  74. Luciano Campi & Umut Cetin & Albina Danilova, 2011. "Equilibrium model with default and insider's dynamic information," Working Papers hal-00613216, HAL.
  75. Tae Ung Gang & Jin Hyuk Choi, 2024. "Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions," Papers 2407.13547, arXiv.org.
  76. Luciano Campi & Umut Çetin, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, vol. 11(4), pages 591-602, October.
  77. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  78. José Mª Corcuera & Peter Imkeller & Arturo Kohatsu & David Nualart, 2003. "Additional utility of insiders with imperfect dynamical information," Economics Working Papers 675, Department of Economics and Business, Universitat Pompeu Fabra.
  79. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
  80. Bart Taub, 2019. "Economic and financial modeling techniques in the frequency domain," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 7(1), pages 1-17, May.
  81. repec:dau:papers:123456789/4436 is not listed on IDEAS
  82. Fabrice Baudoin & Oleksii Mostovyi, 2024. "The indifference value of the weak information," Papers 2408.02137, arXiv.org.
  83. O'Callaghan, Patrick, 2017. "Axioms for Measuring without mixing apples and Oranges," MPRA Paper 81196, University Library of Munich, Germany.
  84. Jorge A. León & Reyla Navarro & David Nualart, 2003. "An Anticipating Calculus Approach to the Utility Maximization of an Insider," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 171-185, January.
  85. Gong, Fuzhou & Liu, Hong, 2012. "Inside trading, public disclosure and imperfect competition," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 200-223.
  86. Katsumasa Nishide, 2009. "Insider trading with correlation between liquidity trading and a public signal," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 297-304.
  87. Jin Hyuk Choi & Tae Ung Gang, 2021. "Optimal investment in illiquid market with search frictions and transaction costs," Papers 2101.09936, arXiv.org, revised Aug 2021.
  88. Werner Stanzl & Gur Huberman, 2000. "Arbitrage-Free Price-Update and Price-Impact Functions," Yale School of Management Working Papers ysm164, Yale School of Management, revised 01 Jan 2001.
  89. Minh Chau & Dimitri Vayanos, 2008. "Strong-Form Efficiency with Monopolistic Insiders," The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2275-2306, September.
  90. Umut c{C}etin & Albina Danilova, 2018. "On pricing rules and optimal strategies in general Kyle-Back models," Papers 1812.07529, arXiv.org, revised Aug 2021.
  91. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
  92. Banerjee, Snehal & Breon-Drish, Bradyn, 2020. "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, vol. 138(2), pages 458-482.
  93. Guillaume Lasserre, 2003. "Market Equilibrium with Insider Trading and Bid-Ask Prices," Working Papers 2003-14, Center for Research in Economics and Statistics.
  94. Umut Çetin, 2018. "Financial equilibrium with asymmetric information and random horizon," Finance and Stochastics, Springer, vol. 22(1), pages 97-126, January.
  95. Estrada, Javier, 1994. "Insider trading: regulation, securities markets, and welfare under risk neutrality," UC3M Working papers. Economics 2922, Universidad Carlos III de Madrid. Departamento de Economía.
  96. Sadzik, Tomasz & Woolnough, Chris, 2021. "Snowballing private information," Journal of Economic Theory, Elsevier, vol. 198(C).
  97. Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021. "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers 2103.04481, arXiv.org.
  98. N. Serhan Aydin, 2016. "Time value of extra information against its timely value," Papers 1610.04051, arXiv.org.
  99. Umut c{C}etin & Henri Waelbroeck, 2020. "Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics," Papers 2003.04425, arXiv.org.
  100. Umut c{C}et{i}n, 2018. "Mathematics of Market Microstructure under Asymmetric Information," Papers 1809.03885, arXiv.org.
  101. Yu, Fan, 1999. "What is the value of knowing uninformed trades?," Economics Letters, Elsevier, vol. 64(1), pages 87-98, July.
  102. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2019. "Resolving asset pricing puzzles using price-impact," Papers 1910.02466, arXiv.org, revised Jun 2020.
  103. Cetin, Umut, 2019. "Linear inverse problems for Markov processes and their regularisation," LSE Research Online Documents on Economics 102633, London School of Economics and Political Science, LSE Library.
  104. José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
  105. Danilova, Albina & Julliard, Christian, 2014. "Information asymmetries, volatility, liquidity, and the Tobin Tax," LSE Research Online Documents on Economics 60957, London School of Economics and Political Science, LSE Library.
  106. Cheng Li & Hao Xing, 2013. "Asymptotic Glosten Milgrom equilibrium," Papers 1310.4994, arXiv.org, revised Jan 2015.
  107. Choi, Jin Hyuk & Larsen, Kasper & Seppi, Duane J., 2019. "Information and trading targets in a dynamic market equilibrium," Journal of Financial Economics, Elsevier, vol. 132(3), pages 22-49.
  108. Guo, Mng, 2023. "Dampening effect and market efficiency," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
  109. repec:dau:papers:123456789/2233 is not listed on IDEAS
  110. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
  111. Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
  112. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
  113. Jia, Xue, 2016. "On the role of information disclosures in capital markets," Other publications TiSEM 9bacfbaa-2162-49fe-92e6-5, Tilburg University, School of Economics and Management.
  114. Glover, Kristoffer, 2022. "Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 919-937.
  115. Chang, Sanders S. & Chang, Lenisa V. & Wang, F. Albert, 2014. "A dynamic intraday measure of the probability of informed trading and firm-specific return variation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 80-94.
  116. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Insider Trading, Stochastic Liquidity and Equilibrium Prices," NBER Working Papers 18451, National Bureau of Economic Research, Inc.
  117. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
  118. Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020. "Effective risk aversion in thin risk‐sharing markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
  119. Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2015. "Information and Trading Targets in a Dynamic Market Equilibrium," Papers 1502.02083, arXiv.org, revised Sep 2015.
  120. Gong, Fuzhou & Liu, Hong, 2016. "Asymmetric information, heterogeneous prior beliefs, and public information," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 100-120.
  121. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
  122. J. Aislinn Bohren, 2011. "Stochastic Games in Continuous Time: Persistent Actions in Long-Run Relationships, Second Version," PIER Working Paper Archive 14-033, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Aug 2014.
  123. Ben-zhang Yang & Xinjiang He & Nan-jing Huang, 2019. "Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory," Papers 1901.00345, arXiv.org, revised Jan 2019.
  124. Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2011. "Insider trading with partially informed traders," Discussion Papers 2011/21, Norwegian School of Economics, Department of Business and Management Science.
  125. Ryu, Doojin & Yang, Heejin & Yu, Jinyoung, 2022. "Insider trading and information asymmetry: Evidence from the Korea Exchange," Emerging Markets Review, Elsevier, vol. 51(PA).
  126. Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May.
  127. Kim, Donghan & Kim, Hyun-Dong & Joe, Denis Yongmin & Oh, Ji Yeol Jimmy, 2021. "Institutional investor heterogeneity and market price dynamics: Evidence from investment horizon and portfolio concentration," Journal of Financial Markets, Elsevier, vol. 54(C).
  128. José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.
  129. David Walsh, 1999. "Uncertain information release and informed trading," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 21-30.
  130. Kerry Back & Francois Cocquemas & Ibrahim Ekren & Abraham Lioui, 2020. "Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading," Papers 2006.09518, arXiv.org, revised Aug 2021.
  131. Abel Azze & Bernardo D'Auria & Eduardo Garc'ia-Portugu'es, 2022. "Optimal stopping of Gauss-Markov bridges," Papers 2211.05835, arXiv.org, revised Jul 2024.
  132. Mc Lennan, Andrew & Monteiro, P. K. & Tourky, Rabee, 2014. "On uniqueness of equilibrium in the Kyle Model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 761, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  133. Matthew Brigida & Jeff Madura & Ariel Viale, 2014. "An information-based model of target stock price runup in the market for corporate control," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1019-1030, June.
  134. Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal, 2014. "A continuous auction model with insiders and random time of information release," Papers 1411.2835, arXiv.org, revised Mar 2018.
  135. Giacomo Morelli, 2021. "Liquidity drops," Annals of Operations Research, Springer, vol. 299(1), pages 711-719, April.
  136. Bernt {O}ksendal & Agn`es Sulem, 2015. "Optimal control of predictive mean-field equations and applications to finance," Papers 1505.04921, arXiv.org.
  137. Albina Danilova, 2016. "Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information," Papers 1607.00035, arXiv.org.
  138. Ferdoos Alharbi & Tahir Choulli, 2022. "Log-optimal portfolio after a random time: Existence, description and sensitivity analysis," Papers 2204.03798, arXiv.org.
  139. Umut c{C}etin, 2016. "Financial equilibrium with asymmetric information and random horizon," Papers 1603.08828, arXiv.org, revised Sep 2017.
  140. Alex Boulatov & Bart Taub, 2014. "Liquidity and the marginal value of information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(2), pages 307-334, February.
  141. Christoph Kuhn & Matthias Riedel, 2012. "Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration," Papers 1210.4000, arXiv.org.
  142. David B Colwell & David Feldman & Wei Hu & Monique Pontier, 2023. "Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation," Working Papers hal-04116818, HAL.
  143. Weston Barger & Ryan Donnelly, 2020. "Insider Trading with Temporary Price Impact," Papers 2007.14162, arXiv.org.
  144. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January.
  145. Ibrahim Ekren & Brad Mostowski & Gordan v{Z}itkovi'c, 2022. "Kyle's Model with Stochastic Liquidity," Papers 2204.11069, arXiv.org.
  146. Mohammed Louriki, 2019. "Brownian bridge with random length and pinning point for modelling of financial information," Papers 1907.08047, arXiv.org, revised Dec 2021.
  147. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  148. Caroline HILLAIRET & Cody HYNDMAN & Ying JIAO & Renjie WANG, 2017. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Working Papers 2017-76, Center for Research in Economics and Statistics.
  149. Chao Ying, 2020. "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers pyi149, Job Market Papers.
  150. Peter Bank & 'Alvaro Cartea & Laura Korber, 2023. "Optimal execution and speculation with trade signals," Papers 2306.00621, arXiv.org, revised Dec 2024.
  151. Edward Hoyle & Lane P. Hughston & Andrea Macrina, 2009. "Levy Random Bridges and the Modelling of Financial Information," Papers 0912.3652, arXiv.org, revised Apr 2010.
  152. Umut c{C}etin, 2023. "Insider trading with penalties, entropy and quadratic BSDEs," Papers 2311.12743, arXiv.org.
  153. Peter Koudijs, 2013. "'Those Who Know Most': Insider Trading in 18th c. Amsterdam," NBER Working Papers 18845, National Bureau of Economic Research, Inc.
  154. Shreya Bose & Ibrahim Ekren, 2021. "Multidimensional Kyle-Back model with a risk averse informed trader," Papers 2111.01957, arXiv.org.
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