Insider Trading, Stochastic Liquidity, and Equilibrium Prices

Econometrica

Volumn 84, Issue 4, 2016, Pages 1441-1475

  Collin Dufresne, Pierre ^a   Fos, Vyacheslav ^b  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b BOSTON COLLEGE   (United States)

Author keywords

asymmetric information; continuous time; execution costs; insider trading; Kyle model; liquidity; market depth; price impact; stochastic volatility; subordinate process; volume

Indexed keywords

EID: 84978976165     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA10789     Document Type: Article

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