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Asymptotic Glosten--Milgrom Equilibrium - MaRDI portal

Asymptotic Glosten--Milgrom Equilibrium (Q5250045)

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scientific article; zbMATH DE number 6435988
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Asymptotic Glosten--Milgrom Equilibrium
scientific article; zbMATH DE number 6435988

    Statements

    title
    Asymptotic Glosten--Milgrom Equilibrium (English)
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    author
    Cheng Li
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    Hao Xing
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    publication date
    15 May 2015
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    zbMATH Keywords
    Glosten-Milgrom model
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    Kyle model
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    weak equilibrium
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    weak convergence
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    optimal strategy
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    occupation time
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    Identifiers

    DOI
    10.1137/130943121
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    Mathematics Subject Classification ID
    60F05
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    60G55
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    49J55
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    49N90
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    91G80
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    zbMATH DE Number
    6435988
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    OpenAlex ID
    W3124857674
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    arXiv ID
    1310.4994
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