Insider Trading With a Random Deadline

DOI10.3982/ECTA7884zbMath1202.91107OpenAlexW1580664553MaRDI QIDQ5190486

Ennio Stacchetti, René Caldentey

Publication date: 18 March 2010

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta7884

zbMATH Keywords

asset pricinginsider tradingKyle modelmarket microstructure

Mathematics Subject Classification ID

Related Items (19)

Dynamic Learning and Market Making in Spread Betting Markets with Informed Bettors ⋮ Insider trading with different risk attitudes ⋮ A reputation game on cyber-security and cyber-risk calibration ⋮ Linear Bayesian equilibrium in insider trading with a random time under partial observations ⋮ Insider trading with product differentiation ⋮ Trading Constraints in Continuous-Time Kyle Models ⋮ Strategic trading with information acquisition and long-memory stochastic liquidity ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs ⋮ Two-period model of insider trading with correlated signals ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory ⋮ OPTION PRICING IN MARKETS WITH INFORMED TRADERS ⋮ Insider trading with memory under random deadline ⋮ Inventory Management for High-Frequency Trading with Imperfect Competition ⋮ Snowballing private information ⋮ Robust pricing under strategic trading ⋮ Kyle equilibrium under random price pressure ⋮ Insider trading with a random deadline under partial observations: maximal principle method

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