Deep Investing in Kyle's Single Period Model

24 Jun 2020 Paul Friedrich Josef Teichmann

The Kyle model describes how an equilibrium of order sizes and security prices naturally arises between a trader with insider information and the price providing market maker as they interact through a series of auctions. Ever since being introduced by Albert S. Kyle in 1985, the model has become important in the study of market microstructure models with asymmetric information... (read more)

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