Asymptotic Glosten--Milgrom Equilibrium

DOI10.1137/130943121zbMath1348.60030arXiv1310.4994OpenAlexW3124857674MaRDI QIDQ5250045

Cheng Li, Hao Xing

Publication date: 15 May 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.4994

zbMATH Keywords

weak convergenceoptimal strategyoccupation timeKyle modelGlosten-Milgrom modelweak equilibrium

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Existence of optimal solutions to problems involving randomness (49J55)

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