Kyle Equilibrium Under Random Price Pressure

26 Pages Posted: 3 Sep 2018

See all articles by José Manuel Corcuera

José Manuel Corcuera

University of Barcelona

Giulia Di Nunno

University of Oslo - Department of Mathematics; University of Pavia

José Fajardo

Getulio Vargas Foundation

Date Written: August 24, 2018

Abstract

We study the equilibrium in the model proposed by Kyle in 1985 and extended 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.

Keywords: Kyle Model, Market Microstructure, Equilibrium, Insider Trading, Stochastic Control, Semimartingales, Enlargement of Filtrations

JEL Classification: C61, D43, D44, D53, G11, G12, G14

Suggested Citation

Corcuera, José Manuel and Di Nunno, Giulia and Fajardo, José, Kyle Equilibrium Under Random Price Pressure (August 24, 2018). Available at SSRN: https://ssrn.com/abstract=3238161 or http://dx.doi.org/10.2139/ssrn.3238161

José Manuel Corcuera

University of Barcelona ( email )

Gran Via de les Corts Catalanes, 585
Barcelona, 08007
Spain

Giulia Di Nunno

University of Oslo - Department of Mathematics ( email )

Blindern, N-0162, Os
Norway

University of Pavia

Via Strada Nuova, 65
I-27100 Pavia
Italy

José Fajardo (Contact Author)

Getulio Vargas Foundation ( email )

Brazil
55213799 5781 (Phone)

HOME PAGE: http://www.josefajardo.com

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
38
Abstract Views
507
PlumX Metrics