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Single-Period Kyle Model Notes (A Clear Summary of the Kyle 1985 Econometrica Paper)

15 Pages Posted: 30 Aug 2015

See all articles by Timothy Falcon Crack

Timothy Falcon Crack

University of Otago - Department of Accountancy and Finance

Date Written: March 3, 2004

Abstract

A careful summary of the Kyle (1985) Econometrica model. Also included are some notes that explore properties of the solution. Email the author if you would like the tex code.

Keywords: Kyle 1985; informed vs noise trader; competitive risk-neutral market maker

JEL Classification: G12, G14

Suggested Citation

Crack, Timothy Falcon, Single-Period Kyle Model Notes (A Clear Summary of the Kyle 1985 Econometrica Paper) (March 3, 2004). Available at SSRN: https://ssrn.com/abstract=2652932 or http://dx.doi.org/10.2139/ssrn.2652932

Timothy Falcon Crack (Contact Author)

University of Otago - Department of Accountancy and Finance ( email )

Dunedin
New Zealand

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