Strategic Insider Trading Equilibrium with a non-fiduciary market maker

dc.contributor.author	Aase, Knut K.
dc.contributor.author	Øksendal, Bernt
dc.date.accessioned	2019-08-29T10:16:08Z
dc.date.available	2019-08-29T10:16:08Z
dc.date.issued	2019-08-28
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/2611566
dc.description.abstract	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 profits. This has several implications for the equilibrium, the most important being that by setting a modest fee conditional of the order ow, the market maker is able to obtain a profit of the order of magnitude, and even better than, a perfectly informed insider. Our model also indicates why speculative prices are more volatile than predicted by fundamentals.	nb_NO
dc.language.iso	eng	nb_NO
dc.publisher	FOR	nb_NO
dc.relation.ispartofseries	Discussion paper;2/19
dc.subject	Insider trading	nb_NO
dc.subject	asymmetric information	nb_NO
dc.subject	strategic trade	nb_NO
dc.subject	price distortion	nb_NO
dc.subject	non-fiduciary market maker	nb_NO
dc.subject	bid-ask spread	nb_NO
dc.subject	linear filtering theory	nb_NO
dc.subject	innovation equation	nb_NO
dc.title	Strategic Insider Trading Equilibrium with a non-fiduciary market maker	nb_NO
dc.type	Working paper	nb_NO
dc.source.pagenumber	44	nb_NO