Is Kyle’s equilibrium model stable?

IF 0.9 3区经济学 Q3 BUSINESS, FINANCE

Mathematics and Financial Economics Pub Date : 2024-05-24 DOI:10.1007/s11579-024-00364-0

Umut Çetin, Kasper Larsen

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.

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凯尔的平衡模型稳定吗？

在 Kyle（《经济计量学》53:1315-1336，1985 年）的动态离散时间交易设置中，我们证明了当有一个或两个交易时间时，Kyle 的均衡模型是稳定的。对于三个或更多的交易时间，我们证明凯尔的均衡并不稳定。这些理论结果被证明是成立的，与凯尔的所有输入参数无关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Mathematics and Financial Economics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS -

CiteScore

2.80

自引率

6.20%

发文量

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.