Kyle Equilibrium Under Random Price Pressure

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