The Mathematics of Insider Trading: An Introduction to the Kyle Model
| 일자 | 김성진 |
|---|---|
| 강연자 | |
| 소속 |
How is private information reflected in market prices through trading? An informed trader seeks to profit from private information, but trading reveals that information to the market and reduces future profit opportunities. This talk introduces the Kyle model and explains how strategic trading and the market’s learning from order flow jointly determine equilibrium prices in discrete and continuous time. We then introduce several extensions, including models with information arriving over time, public disclosure of insider trades, and imperfect competition among market makers.
