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Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
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http://hdl.handle.net/10419/22915
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| Title: | | A Characterization of the Distributions That Imply Existence of Linear Equilbria in the Kyle-Model  |
| Authors: | | Nöldeke, Georg Tröger, Thomas |
| Issue Date: | | 2005 |
| Series/Report no.: | | Bonn econ discussion papers 2005,9 |
| Abstract: | | The existence of a linear equilibrium in Kyle?s model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been shown for the case in which the random variables are independent and have finite second moments. Here we extend this result to the case in which the underlying random variables are not necessarily independent and their joint distribution is determined by its moments. |
| Subjects: | | Market Microstructure Kyle Model Linear Equilibria Elliptical Distributions |
| JEL: | | D82 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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