In an asset market with explicit trading rules we characterize the trading activity of an ambiguity-averse insider who faces Knightian uncertain over other market participants' beliefs and implements a robust trading strategy. Such insider employs a max-min choice mechanism, so that in any round...

Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a timevarying risk premium that is correlated with the forward discount. The...

We study a generalization of Kyle's (1985) model to the case in which the specialist is risk-averse and does not set the transaction price according to semi-strong form efficiency. We see that Kyle's call auction market is no longer a robust market structure, as linear Bayesian equilibria do not...

We extend Kyle's (Kyle, 1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on the liquidation value of a number of risky assets. We confirm: i) in a multi-asset setting, Holden and Subrahmanyam's counter-intuitive result that...