Limit-order markets and floor exchanges are analyzed, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market-order traders pool with small...

We analyze competition among informed traders in the continuous-time Kyle (1985) model, as Foster and Viswanathan (1996) do in discrete time. We confirm the conjecture of Holden and Subrahmanyam (1992) that there is no linear equilibrium when traders have identical information. When traders'...

Portfolio turnpike theorems show that if preferences at large wealth levels are similar to power utility, then the investment strategy converges to the power utility strategy as the horizon increases. We state and prove two simple and general portfolio turnpike theorems. Unlike existing...

The investment boundaries defined by Grenadier (2002) for an oligopoly investment game determine equilibria in open loop strategies. As closed loop strategies, they are not equilibria, because any firm by investing sooner can preempt the investments of other firms and expropriate the growth...