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Financial Markets with Informational Asymmetries and Equilibrium

  • Umut Çetin
  • Albina Danilova
Chapter
  • 450 Downloads
Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 90)

Abstract

This chapter introduces the setup for the equilibrium models that extends, among others, the works of Kyle and Back. It also contains some key results that will be relevant for the characterisation of the equilibrium. Finally the equilibrium will be derived and discussed in Chaps.  7 and  8.

Keywords

Market Makers Trade Information Noise Traders Hamilton Jacobi Bellmann (HJB) Pricing Rule 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  • Umut Çetin
    • 1
  • Albina Danilova
    • 2
  1. 1.Department of StatisticsLondon School of EconomicsLondonUK
  2. 2.Department of MathematicsLondon School of EconomicsLondonUK

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