On uniqueness of equilibrium in the Kyle model

A. McLennan; P. K. Monteiro; R. Tourky

doi:10.1007/s11579-016-0175-7

On uniqueness of equilibrium in the Kyle model

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

8 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 language	English
Pages (from-to)	161-172
Number of pages	12
Journal	Mathematics and Financial Economics
Volume	11
Issue number	2
DOIs	https://doi.org/10.1007/s11579-016-0175-7
Publication status	Published - 1 Mar 2017

Access to Document

10.1007/s11579-016-0175-7

Cite this

@article{813e52f0b5b343d0bbab760c744e6dd3,

title = "On uniqueness of equilibrium in the Kyle model",

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.",

keywords = "Complex analysis, Equilibrium uniqueness, Informed trader, Kyle model, Noise trader",

author = "A. McLennan and Monteiro, {P. K.} and R. Tourky",

note = "Publisher Copyright: {\textcopyright} 2016, Springer-Verlag Berlin Heidelberg.",

year = "2017",

month = mar,

day = "1",

doi = "10.1007/s11579-016-0175-7",

language = "English",

volume = "11",

pages = "161--172",

journal = "Mathematics and Financial Economics",

issn = "1862-9679",

publisher = "Springer Verlag",

number = "2",

}

TY - JOUR

T1 - On uniqueness of equilibrium in the Kyle model

AU - McLennan, A.

AU - Monteiro, P. K.

AU - Tourky, R.

PY - 2017/3/1

Y1 - 2017/3/1

N2 - 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.

AB - 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.

KW - Complex analysis

KW - Equilibrium uniqueness

KW - Informed trader

KW - Kyle model

KW - Noise trader

UR - http://www.scopus.com/inward/record.url?scp=84975317692&partnerID=8YFLogxK

U2 - 10.1007/s11579-016-0175-7

DO - 10.1007/s11579-016-0175-7

M3 - Article

SN - 1862-9679

VL - 11

SP - 161

EP - 172

JO - Mathematics and Financial Economics

JF - Mathematics and Financial Economics

IS - 2

ER -

On uniqueness of equilibrium in the Kyle model

Abstract

Access to Document

Other files and links

Cite this