On uniqueness of equilibrium in the Kyle model

A. McLennan*, P. K. Monteiro, R. Tourky

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    7 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)161-172
    Number of pages12
    JournalMathematics and Financial Economics
    Volume11
    Issue number2
    DOIs
    Publication statusPublished - 1 Mar 2017

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