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Title:A Characterization of the Distributions That Imply Existence of Linear Equilbria in the Kyle-Model PDF Logo
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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