Kyle equilibrium under random price pressure

DOI10.1007/s10203-019-00231-4zbMath1426.91315OpenAlexW2913794616WikidataQ128483805 ScholiaQ128483805MaRDI QIDQ2331003

Giulia Di Nunno, José Fajardo, José Manuel Corcuera

Publication date: 23 October 2019

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/74872

zbMATH Keywords

stochastic controlequilibriuminsider tradingKyle modelmarket microstructureenlargement of filtrations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

Related Items (3)

Kyle-back models with risk aversion and non-Gaussian beliefs ⋮ Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory ⋮ On Pricing Rules and Optimal Strategies in General Kyle--Back Models

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