We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's lambda, the price sensitivity to the order flow, can even be nonmonotonic, depending...

In the pioneering and influential Kyle's (1985) model, the market maker's pricing rule $\lambda_{n}$ is regarded as a constant when the insider submits her optimal strategy. We loosen this assumption by taking into account sufficiently the effect the insider's strategy $x_{n}$ has on it. When...

We study sequential parimutuel betting markets with asymmetrically informed bettors, using an experimental approach. In one treatment, groups of eight participants play twenty repetitions of a sequential betting game. The second treatment is identical, except that bettors are observed by other...

This paper examines simple parimutuel betting games under asymmetric information, with particular attention to differences between markets in which bets are submitted simultaneously versus sequentially. In the simultaneous parimutuel betting market, all (symmetric and asymmetric) Bayesian-Nash...

We study sequential parimutuel betting markets with asymmetrically informed bettors, using an experimental approach. In one treatment, groups of eight participants play twenty repetitions of a sequential betting game. The second treatment is identical, except that bettors are observed by other...

We study sequential parimutuel betting markets with asymmetrically informed bettors, using an experimental approach. In one treatment, groups of eight participants play twenty repetitions of a sequential betting game. The second treatment is identical, except that bettors are observed by other...

This paper studies the impact of belief elicitation on informational efficiency and individual behavior in experimental parimutuel betting markets. In one treatment, groups of eight participants, who possess a private signal about the eventual outcome, play a sequential betting game. The second...

We establish existence and uniqueness of equilibrium in a generalised one-period Kyle (1985) model where insider trades can be subject to a size-dependent penalty. The result is obtained by considering uniform noise and holds for virtually any penalty function. Uniqueness is among all...

We establish existence and uniqueness of equilibrium in a generalized one-period Kyle (1985) model where insider trading can be subject to a penalty cost that is non-decreasing in the trade size.The result is obtained for uniform noise and holds for general penalty functions. Uniqueness is among...

This paper studies the consequences of asymmetric litigation costs. Under three differ- ent protocols: static legal process, dynamic legal process with exogenous sequencing and dynamic legal process with endogenous sequencing, solutions are obtained for the litigation efforts and the expected...