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Robustness of equilibrium in the Kyle model of informed speculation

Annals of Finance. 2015. P. 297–318.
Boulatov A., Bernhardt D.

We analyze a static Kyle (Continuous auctions and insider trading. Princeton University, Princeton, 1983) model in which a risk-neutral informed trader can use arbitrary (linear or non-linear) deterministic strategies, and a finite number of market makers can use arbitrary pricing rules. We establish a strong sense in which the linear Kyle equilibrium is robust: the first variation in any agent’s expected payoff with respect to a small variation in his conjecture about the strategies of others vanishes at equilibrium. Thus, small errors in a market maker’s beliefs about the informed speculator’s trading strategy do not reduce his expected payoffs. Therefore, the original equilibrium strategies remain optimal and still constitute an equilibrium (neglecting the higher-order terms). We also establish that if a non-linear equilibrium exists, then it is not robust. © 2015 Springer-Verlag Berlin Heidelberg

Priority areas: economics mathematics
Language: English
DOI
Text on another site
Keywords: market microstructurerobustnessuniquenessBayesian Nash equilibriumInformationInformed speculation
Publication based on the results of:
Research in Financial Economics: International Capital Flows, Efficiency of Financial Markets and Corporate Governance (2015)
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