Insider trading, stochastic liquidity, and equilibrium prices
by Pierre Collin-Dufresne and Vyacheslav Fos
| Year of publication: |
July 2016
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| Authors: | Collin-Dufresne, Pierre ; Fos, Vyacheslav |
| Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 84.2016, 4, p. 1441-1475
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| Subject: | Kyle model | insider trading | asymmetric information | liquidity | price impact | market depth | stochastic volatility | volume | subordinate process | execution costs | continuous time | Insiderhandel | Insider trading | Theorie | Theory | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Asymmetrische Information | Asymmetric information | Volatilität | Volatility | Handelsvolumen der Börse | Trading volume | Marktliquidität | Market liquidity | Noise Trading | Noise trading | Liquidität | Liquidity | Geld-Brief-Spanne | Bid-ask spread | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA10789 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011611102