Arbeitspapier
A Characterization of the Distributions That Imply Existence of Linear Equilibria in the Kyle-Model
The existence of a linear equilibrium in Kyle's model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been shown for the case in which the random variables are independent and have finite second moments. Here we extend this result to the case in which the underlying random variables are not necessarily independent and their joint distribution is determined by its moments.
- Language
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Englisch
- Bibliographic citation
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Series: SFB/TR 15 Discussion Paper ; No. 43
- Classification
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Asymmetric and Private Information; Mechanism Design
- Subject
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Market Microstructure
Kyle Model
Linear
- Event
-
Geistige Schöpfung
- (who)
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Nöldeke, Georg
Tröger, Thomas
- Event
-
Veröffentlichung
- (who)
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Sonderforschungsbereich/Transregio 15 - Governance and the Efficiency of Economic Systems (GESY)
- (where)
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München
- (when)
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2005
- DOI
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doi:10.5282/ubm/epub.13505
- Handle
- URN
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urn:nbn:de:bvb:19-epub-13505-4
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Nöldeke, Georg
- Tröger, Thomas
- Sonderforschungsbereich/Transregio 15 - Governance and the Efficiency of Economic Systems (GESY)
Time of origin
- 2005
Other Objects (12)
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Equilibria existence in regular discontinuous games
Existence and optimality of competitive equilibria
Existence and optimality of competitive equilibria
An improvement on the existence proof of joint plan equilibria
Equilibria in Kyle games : existence and construction
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On the Existence of Markov Perfect Equilibria in Perfect Information Games
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Proof of the Existence of Speculative Equilibria
On the Existence of Noncooperative Equilibria in Social Systems
Partial cooperative equilibria: Existence and characterization
Equilibria existence in regular discontinuous games
Existence and optimality of competitive equilibria
Existence and optimality of competitive equilibria
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Equilibria in Kyle games : existence and construction
On the Existence of Sunspot Equilibria in an Overlapping Generations Model
On the Existence of Markov Perfect Equilibria in Perfect Information Games