Kyle equilibrium under random price pressure
Peer reviewed, Journal article
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Original versionDecisions in Economics and Finance. 2019, 42 (1), 77-101. 10.1007/s10203-019-00231-4
We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev Financ Stud 5(3):387–409, 1992). The novelty of this paper is that we consider a framework where the price pressure can be random. We also allow for a random release time of the fundamental value of the asset. This framework includes all the particular Kyle models proposed in the literature. The results enlighten the equilibrium properties shared by all these models and guide the way of finding equilibria in this context.