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Kyle equilibrium under random price pressure |
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| Authors: | Corcuera José Manuel Di Nunno Giulia Fajardo José |
| Institution: | 1.Universitat de Barcelona, Gran Via de les Corts Catalanes, 585, 08007, Barcelona, Spain ;2.Department of Mathematics, University of Oslo, Blindern, P.O. Box 1053, 0316, Oslo, Norway ;3.NHH, School of Economics, Helleveien 30, 5045, Bergen, Norway ;4.Brazilian School of Public and Business Administration, Getulio Vargas Foundation, Rua Jornalista Orlando Dantas 30, Rio de Janeiro, RJ, 22231-010, Brazil ; |
| Abstract: | Decisions in Economics and Finance - We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev... |
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