Cheng Li

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

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Asymptotic Glosten Milgrom Equilibrium

Number of pages: 35 Posted: 19 Oct 2013 Last Revised: 24 Apr 2014
Cheng Li and Hao Xing
London School of Economics & Political Science (LSE) and Boston University - Questrom School of Business
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Abstract:

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Glosten Milgrom model, Kyle model, nonexistence, occupation time, weak convergence