We extend Kyle's (1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on several risky assets. The insider trades aggressively and so that the price impact of order flow is symmetric across assets.
Risk-averse Insider Trading in Multi-asset Sequential Auction Markets
VITALE, Paolo
2012-01-01
Abstract
We extend Kyle's (1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on several risky assets. The insider trades aggressively and so that the price impact of order flow is symmetric across assets.File in questo prodotto:
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