Securities Regulation
Continuous Auctions and Insider Trading
Albert S. Kyle
- Year
- 1985
- Venue
- Econometrica
- Level
- Advanced
Summary
Models sequential trading among an informed trader, noise traders, and competitive market makers. The paper links private information to price formation, trading profits, volatility, and market depth, making it foundational for legal analysis of insider trading and market microstructure.
Citation
Albert S. Kyle. "Continuous Auctions and Insider Trading." Econometrica, 1985.
DOI: 10.2307/1913210
BibTeX
@article{Kyle1985Continuous,
title = {Continuous Auctions and Insider Trading},
author = {Albert S. Kyle},
year = {1985},
journal = {Econometrica},
doi = {10.2307/1913210},
url = {https://doi.org/10.2307/1913210}
}