Is Kyle’s Equilibrium Model Stable?
Copyright policy )Is Kyle’s Equilibrium Model Stable?
AbstractIn the dynamic discrete-time trading setting of Kyle (Econometrica 53:1315–1336, 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.
FOS: Economics and business, Quantitative Finance - Trading and Market Microstructure, Financial markets, market microstructure theory, informed trading, fixed points, stability, Trading and Market Microstructure (q-fin.TR)
FOS: Economics and business, Quantitative Finance - Trading and Market Microstructure, Financial markets, market microstructure theory, informed trading, fixed points, stability, Trading and Market Microstructure (q-fin.TR)
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).2 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!