{"title":"Is Kyle’s equilibrium model stable?","authors":"Umut Çetin, Kasper Larsen","doi":"10.1007/s11579-024-00364-0","DOIUrl":null,"url":null,"abstract":"<p>In the dynamic discrete-time trading setting of Kyle (Econometrica 53:1315–1336, 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.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"108 1","pages":""},"PeriodicalIF":0.9000,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mathematics and Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s11579-024-00364-0","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
In the dynamic discrete-time trading setting of Kyle (Econometrica 53:1315–1336, 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.
期刊介绍：
The primary objective of the journal is to provide a forum for work in finance which expresses economic ideas using formal mathematical reasoning. The work should have real economic content and the mathematical reasoning should be new and correct.
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