Template-Type: ReDIF-Paper 1.0
Title: A Characterization of the Distributions That Imply Existence of Linear Equilbria in the Kyle-Model
Author-Name: Georg Nöldeke
Author-Name: Thomas Tröger
Author-Email: georg.noldeke@uni-bonn.de
Author-Email: ttroeger@uni-bonn.de
Classification-JEL: G14, D82
Keywords: Market Microstructure, Kyle Model, Linear Equilibria, Elliptical Distributions
Abstract: The existence of a linear equilibrium in Kyle's model of market making with multiple, 
	symmetrically informed strategic traders is implied for any number of strategic traders if 
	the joint distribution of the underlying exogenous random variables is elliptical. The 
	reverse implication has been shown for the case in which the random variables are 
	independent and have finite second moments. Here we extend this result to the case in 
	which the underlying random variables are not necessarily independent and their joint 
	distribution is determined by its moments.
Note: 
Length: 19
Creation-Date: 2005-05	
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse9_2005.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse9_2005