This paper is concerned with the stategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information. The model turns out to be a zero-sum repeated game with one-sided information, as...

The appearance of the normal density remained unexplained in Mertens and Zamir's proof: it appeared there as the solution of a differential equation. Our proof however justifies this normal density as a consequence of a generalisation of the CLT discussed in the second part of this paper.