Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders

We study a generalization of the static model of [11] with two risk neutral insiders to the case where each insider is partially informed about the value of the stock. First, we provide a necessary and sufficient condition for the uniqueness of the linear Bayesian equilibrium. Specifically, we show...

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Detalles Bibliográficos
Autores principales: Daher, Wassim, Saleeby, Elias G.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10336505/
https://www.ncbi.nlm.nih.gov/pubmed/37449171
http://dx.doi.org/10.1016/j.heliyon.2023.e17574
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author Daher, Wassim
Saleeby, Elias G.
author_facet Daher, Wassim
Saleeby, Elias G.
author_sort Daher, Wassim
collection PubMed
description We study a generalization of the static model of [11] with two risk neutral insiders to the case where each insider is partially informed about the value of the stock. First, we provide a necessary and sufficient condition for the uniqueness of the linear Bayesian equilibrium. Specifically, we show that, when the covariance matrix of the errors terms of the insiders' signals, is not singular, the linear Bayesian equilibrium is not unique. Then, we carry out a comparative statics analysis.
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spelling pubmed-103365052023-07-13 Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders Daher, Wassim Saleeby, Elias G. Heliyon Research Article We study a generalization of the static model of [11] with two risk neutral insiders to the case where each insider is partially informed about the value of the stock. First, we provide a necessary and sufficient condition for the uniqueness of the linear Bayesian equilibrium. Specifically, we show that, when the covariance matrix of the errors terms of the insiders' signals, is not singular, the linear Bayesian equilibrium is not unique. Then, we carry out a comparative statics analysis. Elsevier 2023-06-26 /pmc/articles/PMC10336505/ /pubmed/37449171 http://dx.doi.org/10.1016/j.heliyon.2023.e17574 Text en © 2023 The Authors https://creativecommons.org/licenses/by-nc-nd/4.0/This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
spellingShingle Research Article
Daher, Wassim
Saleeby, Elias G.
Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders
title Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders
title_full Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders
title_fullStr Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders
title_full_unstemmed Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders
title_short Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders
title_sort existence of linear equilibria in the kyle model with partial correlation and two risk neutral traders
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10336505/
https://www.ncbi.nlm.nih.gov/pubmed/37449171
http://dx.doi.org/10.1016/j.heliyon.2023.e17574
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