Kyle equilibrium under random price pressure
Year of publication: |
2019
|
---|---|
Authors: | Corcuera, José Manuel ; Di Nunno, Giulia ; Barbachan, José Santiago Fajardo |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 1, p. 77-101
|
Subject: | Kyle model | Market microstructure | Equilibrium | Insider trading | Stochastic control | Enlargement of filtrations | Insiderhandel | Marktmikrostruktur | Stochastischer Prozess | Stochastic process | Gleichgewichtstheorie | Equilibrium theory | Auktionstheorie | Auction theory | Börsenkurs | Share price |
-
Kyle-Back's model with a random horizon
Corcuera, José Manuel, (2018)
-
Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre, (2016)
-
Information in securities markets : Kyle meets Glosten and Milgrom
Back, Kerry E., (2004)
- More ...
-
Kyle Equilibrium Under Random Price Pressure
Corcuera, José Manuel, (2018)
-
Kyle-Back's model with a random horizon
Corcuera, José Manuel, (2018)
-
Close form pricing formulas for Coupon Cancellable CoCos
Corcuera, José Manuel, (2014)
- More ...