Work

Is Kyle's equilibrium model stable?

Year: 2023

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2307.09392

Authors: Cetin, Umut, Larsen, Kasper

Institution: Rutgers, The State University of New Jersey

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4384811796

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