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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Text (Is Kyle’s equilibrium model stable?)
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Identification Number: 10.1007/s11579-024-00364-0
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 |
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Additional Information: | © 2024 The Author |
Divisions: | Statistics |
Date Deposited: | 07 May 2024 10:42 |
Last Modified: | 14 Aug 2024 06:24 |
URI: | http://eprints.lse.ac.uk/id/eprint/122935 |
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