On uniqueness of equilibrium in the Kyle model

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• 作者：A. McLennan ; P. K. Monteiro ; R. Tourky
• 关键词：Kyle model ; Equilibrium uniqueness ; Informed trader ; Noise trader ; Complex analysis
• 刊名：Mathematics and Financial Economics
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：11
• 期：2
• 页码：161-172
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Quantitative Finance; Finance, general; Macroeconomics/Monetary Economics//Financial Economics; Economic Theory/Quantitative Economics/Mathematical Methods; Applications of Mathematics; Statistics for
• 出版者：Springer Berlin Heidelberg
• ISSN：1862-9660
• 卷排序：11

文摘

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.