Existence of Linear Equilibria in the Kyle Model with Multiple Informed Traders

We consider Kyle's market order model of insider trading with multiple informed traders and show: if a linear equilibrium exists for two different numbers of informed traders, asset payoff and noise trading are independent and have finite second moments, then these random variables are normally distributed.

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Year of publication:	2001-01
Authors:	Nöldeke, Georg ; Tröger, Thomas
Institutions:	University of Bonn, Germany
Subject:	insider trading \| Kyle model \| linear equilibrium \| normal distribution

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Extent:	application/pdf
Series:	Bonn Econ Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	8 pages long
Classification:	C62 - Existence and Stability Conditions of Equilibrium ; D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005001504