Browsing Department of Business and Management Science by Subject "linear filter theory"
Now showing items 1-2 of 2
-
Strategic insider trading equilibrium : a filter theory approach
(Discussion paper, Working paper, 2010-08)The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity trading, and by having weaker ... -
Strategic insider trading equilibrium: A filter theory approach
(Journal article; Peer reviewed, 2012)The continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 1985 ) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity ...