Point process bridges and weak convergence of insider trading models

DOI10.1214/EJP.V18-2039zbMath1284.60096arXiv1205.4358OpenAlexW2171410231MaRDI QIDQ388873

Umut Çetin, Hao Xing

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4358

zbMATH Keywords

weak convergenceequilibriuminsider tradingKyle modelGlosten-Milgrom modelpoint process Bridge

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Auctions, bargaining, bidding and selling, and other market models (91B26) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Asymptotic Glosten--Milgrom Equilibrium

This page was built for publication: Point process bridges and weak convergence of insider trading models