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摘要翻译：
Kyle(1985)建立了一个具有开创性和影响力的模型，在这个模型中，一个拥有长期私人信息的内部人在给定做市商定价规则的每个时期提交一个最优订单。“不变定价规则”实际上假定的是一个与内部人决策前给定的定价规则相适应的预期价格，而“市场效率”条件假定的是一个合理的预期价格，并意味着定价规则可以受到内部人策略的影响，这在一定程度上是不一致的。通过充分考虑内部人的策略对定价规则的影响，放松了“不变定价规则”的假设。根据知情利润的条件期望的特点，提出了三种不同的模型。与Kyle(1985)相比，模型1中的风险厌恶型内部人可以获得更大的保证利润，模型2中的风险中性型内部人可以获得更大的事前总利润预期，模型3中的风险寻求型内部人可以获得更大的风险利润。并且给出了三个模型在交易频率接近无穷大时的极限行为，表明模型1获得强形式有效，模型2获得Kyle(1985)连续均衡，模型3获得信息以递增速度释放的均衡。
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英文标题：
《Insider Trading in the Market with Rational Expected Price》
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作者：
Fuzhou Gong, Deqing Zhou
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the sense that the ``constant pricing rule " actually assumes an adaptive expected price with pricing rule given before insider making the decision, and the ``market efficiency" condition, however, assumes a rational expected price and implies that the pricing rule can be influenced by insider's strategy. We loosen the ``constant pricing rule " assumption by taking into account sufficiently the insider's strategy has on pricing rule. According to the characteristic of the conditional expectation of the informed profits, three different models vary with insider's attitudes regarding to risk are presented. Compared to Kyle (1985), the risk-averse insider in Model 1 can obtain larger guaranteed profits, the risk-neutral insider in Model 2 can obtain a larger ex ante expectation of total profits across all periods and the risk-seeking insider in Model 3 can obtain larger risky profits. Moreover, the limit behaviors of the three models when trading frequency approaches infinity are given, showing that Model 1 acquires a strong-form efficiency, Model 2 acquires the Kyle's (1985) continuous equilibrium, and Model 3 acquires an equilibrium with information released at an increasing speed.
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PDF链接：
https://arxiv.org/pdf/1012.2160
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