Abstract
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.
Original language | English |
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Pages (from-to) | 161-172 |
Number of pages | 12 |
Journal | Mathematics and Financial Economics |
Volume | 11 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Mar 2017 |