Browsing Discussion papers (FOR) by Subject "Insider trading"
Now showing items 1-3 of 3
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Insider trading with non-fiduciary market makers
(Discussion paper;8/16, Working paper, 2016-05-23)The single auction equilibrium of Kyle's (1985) is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected ... -
Strategic Insider Trading Equilibrium with a non-fiduciary market maker
(Discussion paper;2/19, Working paper, 2019-08-28)The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected ... -
Strategic Insider Trading in Continuous Time: A New Approach
(Discussion paper;3/19, Working paper, 2019-08-29)The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized by allowing time-varying noise trading. From rather simple assumptions we are able to derive the ...