Information in securities markets: Kyle meets Glosten and Milgrom

Econometrica

Volumn 72, Issue 2, 2004, Pages 433-465

  Back, Kerry ^a   Baruch, Shmuel ^b  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b UNIVERSITY OF UTAH   (United States)

Author keywords

Asymmetric information; Bid ask spread; Bluffing; Depth; Glosten Milgrom model; Insider trading; Kyle model; Liquidity; Market microstructure

Indexed keywords

BROWNIAN MOVEMENT; COMMERCE; COMPETITION; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; OPTIMIZATION; POISSON DISTRIBUTION;

GLOSTEN-MILGROM MODEL; KYLE MODEL; MARKET MICROSTRUCTURE;

MARKETING;

EID: 1642395588     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00497.x     Document Type: Article

References (13)

1. Back, K. (1992): "Insider Trading in Continuous Time," Review of Financial Studies, 5, 387-409.
2. Bagehot, W. (pseud.) (1971): "The Only Game in Town," Financial Analysts Journal, 22, 12-14.
3. Black, F. (1990): "Bluffing," Working Paper, Goldman Sachs.
4. Easley, D., N. Kiefer, M. O'Hara, and J. Paperman (1996): "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, 51, 1405-1436.
5. Ethier, S., and T. Kurtz (1986): Markov Processes. New York: John Wiley & Sons.
6. Gerald, C., and P. Wheatley (1999): Applied Numerical Analysis. Reading, MA: Addison-Wesley.
7. Glosten, L., and P. Milgrom (1985): "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 13, 71-100.
8. Huddart, S., J. Hughes, and C. Levine (2001): "Public Disclosure and Dissimulation of Insider Trades," Econometrica, 69, 665-681.
9. Judd, K. (1998): Numerical Methods in Economics. Cambridge: MIT Press.
10. Karatzas, I., and S. Shreve (1988): Brownian Motion and Stochastic Calculus. New York: Springer-Verlag.
11. Kyle, A. S. (1985): "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1335.
12. Protter, P. (1990): Stochastic Integration and Differential Equations. New York: Springer-Verlag.
13. Rogers, L. C. G., and D. Williams (2000): Diffusions, Markov Processes and Martingales, 2nd ed. Cambridge, MA: Cambridge University Press.