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Strategic Trading of Informed Trader with Monopoly on Short- and Long-Lived Information

Title
Strategic Trading of Informed Trader with Monopoly on Short- and Long-Lived Information
Authors
노찬우
Date Issued
2010
Publisher
포항공과대학교
Abstract
In his seminal paper, Kyle (1985) analyzed a market model with an informed trader who has monopoly on long-lived information. We consider a market with the same participants as in Kyle's, but where the informed trader has monopoly on two types of information, long-lived one and short-lived one. A necessary and sufficient condition for a market equilibrium in the form of a difference equation system is found, and a method of calculating a solution is suggested. The strategic behavior of the informed trader is analyzed with the emphasis on the interactive effect of the two types of information.
URI
http://postech.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000000542611
http://oasis.postech.ac.kr/handle/2014.oak/542
Article Type
Thesis
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