A characterization of the distributions that imply existence of linear equilibria in the Kyle-model |
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Authors: | Georg Nöldeke Thomas Tröger |
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Institution: | (1) Department of Economics, University of Bonn, Adenauerallee 24-42, 53113 Bonn, Germany |
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Abstract: | 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.
We thank two anonymous referees for their comments. Financial support by the Deutsche Forschungsgemeinschaft, SFB-TR 15, is
gratefully acknowledged. |
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Keywords: | Market microstructure Kyle- model Linear equilibria Elliptical distributions |
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