Inside trading, public disclosure and imperfect competition
F Gong, H Liu - International Review of Economics & Finance, 2012 - Elsevier
We present a multi-period trading model in the style of Kyle's (1985) inside trading model, by
assuming that there are at least two insiders in the market with long-lived private information …
assuming that there are at least two insiders in the market with long-lived private information …
Asymmetric information, heterogeneous prior beliefs, and public information
F Gong, H Liu - International Review of Economics & Finance, 2016 - Elsevier
We present a dynamic trading model that assumes traders face not only asymmetric
information but also heterogeneous prior beliefs under a mandatory public disclosure …
information but also heterogeneous prior beliefs under a mandatory public disclosure …
Sequential fair stackelberg equilibria of linear strategies in risk-seeking insider trading
F Gong, Y Zhou - Journal of Systems Science and Complexity, 2018 - Springer
This paper develops a sequential fair Stackelberg auction model in which each of the two
risk-seeking insiders has an equal chance to be a leader or follower at each auction stage …
risk-seeking insiders has an equal chance to be a leader or follower at each auction stage …
Existence of linear strategy equilibrium in insider trading with partial observations
Y Zhou - Journal of Systems Science and Complexity, 2016 - Springer
This paper investigates a linear strategy equilibrium in insider trading in continuous time
allowing market makers to know some information on the value of a stock. By the use of …
allowing market makers to know some information on the value of a stock. By the use of …
The mixed equilibrium of insider trading in the market with rational expected price
F Gong, H Liu - Stochastic Analysis and Applications to Finance …, 2012 - World Scientific
Abstract Inspired by Kyle13 and Gong and Zhou, 10 we study the rational expectation
equilibrium in a competitive market by assuming that there are two insiders with the same …
equilibrium in a competitive market by assuming that there are two insiders with the same …
[PDF][PDF] Risk-seeking insider trading with partial observation in continuous time
K Xiao - AIMS Mathematics, 2023 - aimspress.com
In this paper, a continuous-time insider trading model is investigated in which an insider is
risk-seeking and market makers may receive partial information on the value of a risky asset …
risk-seeking and market makers may receive partial information on the value of a risky asset …
Concentrated trading and the survival of overconfident traders
H Zhang, D Zhou - Acta Mathematicae Applicatae Sinica, English Series, 2019 - Springer
We build a strategic trading model where the overconfident trader earns more than the
rational trader and the mechanism for this result differs from that of Kyle and Wang (1997). In …
rational trader and the mechanism for this result differs from that of Kyle and Wang (1997). In …