EconStor >
Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >

Please use this identifier to cite or link to this item:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorNöldeke, Georgen_US
dc.contributor.authorTröger, Thomasen_US
dc.description.abstractThe 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.en_US
dc.relation.ispartofseriesBonn econ discussion papers 2005,9en_US
dc.subject.keywordMarket Microstructureen_US
dc.subject.keywordKyle Modelen_US
dc.subject.keywordLinear Equilibriaen_US
dc.subject.keywordElliptical Distributionsen_US
dc.subject.stwKyle modelen_US
dc.titleA Characterization of the Distributions That Imply Existence of Linear Equilbria in the Kyle-Modelen_US
dc.typeWorking Paperen_US
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

Files in This Item:
File Description SizeFormat
bgse9_2005.pdf288.17 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.