A characterization of the distributions that imply existence of linear equilibria in the Kyle-model

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A characterization of the distributions that imply existence of linear equilibria in the Kyle-model

JournalArticle (Originalarbeit in einer wissenschaftlichen Zeitschrift)

ID	56883
Author(s)	Nöldeke, Georg; Tröger, Thomas
Author(s) at UniBasel	Nöldeke, Georg
Year	2006
Title	A characterization of the distributions that imply existence of linear equilibria in the Kyle-model
Journal	Annals of finance
Volume	2
Number	1
Pages / Article-Number	73-85
Keywords	Market microstructure , Kyle- model, Linear equilibria, Elliptical distributions
Abstract	The existence of a linear equilibrium in Kyle’s model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been shown for the case in which the random variables are independent and have finite second moments. Here we extend this result to the case in which the underlying random variables are not necessarily independent and their joint distribution is determined by its moments.
Publisher	Springer
ISSN/ISBN	1614-2446
edoc-URL	http://edoc.unibas.ch/dok/A5249191
Full Text on edoc	Available
Digital Object Identifier DOI	10.1007/s10436-005-0024-9

25/04/2024

Research Database / FORSCHUNGSDATENBANK