Is Kyle’s equilibrium model stable?

Cetin, Umut ORCID: 0000-0001-8905-853X and Larsen, Kasper (2024) Is Kyle’s equilibrium model stable? Mathematics and Financial Economics. ISSN 1862-9679

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Abstract

In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle’s equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle’s equilibrium is not stable. These theoretical results are proven to hold irrespectively of all Kyle’s input parameters.

Item Type:	Article
Additional Information:	© 2024 The Author
Divisions:	Statistics
Date Deposited:	07 May 2024 10:42
Last Modified:	21 Nov 2024 00:21
URI:	http://eprints.lse.ac.uk/id/eprint/122935

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