Technical Appendix: Information Sales and Strategic Trading

23 Pages Posted: 15 May 2009 Last revised: 18 Sep 2012

See all articles by Diego Garcia

Diego Garcia

University of Colorado at Boulder - Leeds School of Business; University of North Carolina (UNC) at Chapel Hill - Finance Area

Francesco Sangiorgi

Frankfurt School of Finance & Management gemeinnützige GmbH

Date Written: May 11, 2009

Abstract

In this technical appendix we extend the results in the paper “Information sales and strategic trading.” We study the problem of a monopolist selling information to a set of risk-averse traders. We first analytically reduce the seller’s problem to a simple constrained optimization, allowing for arbitrary allocations of information. We also fully characterize the equilibria in the models of Kyle (1985) and Kyle (1989) under general signal structures. Finally, we provide details on the numerical solutions to the information sales problems presented in the paper.

Keywords: markets for information, imperfect competition

JEL Classification: D82, G14

Suggested Citation

Garcia, Diego and Sangiorgi, Francesco, Technical Appendix: Information Sales and Strategic Trading (May 11, 2009). Available at SSRN: https://ssrn.com/abstract=1404445 or http://dx.doi.org/10.2139/ssrn.1404445

Diego Garcia

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

University of North Carolina (UNC) at Chapel Hill - Finance Area

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Francesco Sangiorgi (Contact Author)

Frankfurt School of Finance & Management gemeinnützige GmbH ( email )

Adickesallee 34
Frankfurt am Main, 60322
Germany

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