10.1080/14697680802165728

Insider trading with correlation between liquidity trading and a public signal

Abstract

We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's λ, the price sensitivity to the order flow, can even be non-monotonic, depending on the correlation structure. We also show that the introduction of an additional public signal does not necessarily improve the informational efficiency of the market, depending on the correlation.Market microstructure, Financial economics, Market manipulation, Insider trading,

Similar works

Full text

thumbnail-image

Research Papers in Economics

Provided original full text link
Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

Having an issue?

Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.