We revisit Kyle’s (Econometrica 53:1315–1335, <CitationRef CitationID="CR11">1985</CitationRef>) model of price formation in the presence of private information. We begin by using Back’s (Rev Financ Stud 5(3):387–409, <CitationRef CitationID="CR1">1992</CitationRef>) approach, demonstrating that if standard assumptions are imposed, the model has a unique equilibrium solution...</citationref></citationref>

We solve a multi-period model of strategic trading with long-lived information in multiple assets with correlated innovations in fundamental values. Market makers in each asset can only condition their pricing functions on trading in each asset. Using daily non-public data from the New York...

Using trade and quote data from the NYSE, we examine the relation between dealer attention, dealer revenue, and the probability of informed trade. We find that dealer revenue net of losses to better-informed traders in NYSE stocks is positively related to the speed at which quotes adjust to full...

We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where...

We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones--numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone....