Insider Trading, Stochastic Liquidity and Equilibrium Prices
收藏NBER2012-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18451
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资源简介：
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is mean
提供机构：
美国国家经济研究局
创建时间：
2012-10-01
