Robustness of equilibrium in the Kyle model of informed speculation

DOI10.1007/s10436-015-0264-2zbMath1369.91064OpenAlexW1845206393MaRDI QIDQ902174

Dan Bernhardt, Alex Boulatov

Publication date: 7 January 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/70191/1/WRAP_Robust_DB_2015_June19_1%20%252800000002%2529.pdf

zbMATH Keywords

robustnessuniquenessinformationmarket microstructureBayesian Nash equilibriuminformed speculation

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Rationality and learning in game theory (91A26)

Related Items (2)

Stock markets fragmentation, volatility and final investors ⋮ Financial innovation and risk: the role of information

Cites Work

• Unnamed Item
• Knightian games and robustness to ambiguity
• Consistency of beliefs and epistemic conditions for Nash and correlated equilibria
• Continuous Auctions and Insider Trading

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