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Information in Securities Markets: Kyle Meets Glosten and Milgrom
16 references·16 citing·29 second hopsampled
Information in Securities Markets: Kyle Meets Glosten and Milgrom (2004)Information in Securities Markets: Kyle M…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Imperfect Competition among Informed Traders (2000)Imperfect Competition among I…Numerical Methods in Economics (1998)Numerical Methods in EconomicsStrategic Trading When Agents Forecast the Forecasts of Others (1996)Strategic Trading When Agents…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Market microstructure theory (1995)Market microstructure theoryTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…An Introduction to the Theory of Rational Expectations Under Asymmetric Information (1981)An Introduction to the Theory…The Only Game in Town (1971)The Only Game in TownLegal Risk and Insider Trading (2023)Legal Risk and Insider TradingChasing Private Information (2019)Chasing Private InformationBack-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)Back-Running: Seeking and Hid…Identifying Information Asymmetry in Securities Markets (2017)Identifying Information Asymm…Insider Trading, Stochastic Liquidity, and Equilibrium Prices (2016)Insider Trading, Stochastic L…High-Frequency Trading and Market Performance (2015)High-Frequency Trading and Ma…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Insider Trading, Stochastic Liquidity and Equilibrium Prices (2012)Insider Trading, Stochastic L…Insider Trading With a Random Deadline (2010)Insider Trading With a Random…INFORMATION-BASED ASSET PRICING (2008)INFORMATION-BASED ASSET PRICI…How to Define Illegal Price Manipulation (2008)How to Define Illegal Price M…Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (2008)Estimating quadratic variatio…Working Orders in Limit Order Markets and Floor Exchanges (2007)Working Orders in Limit Order…Strong-Form Efficiency with Monopolistic Insiders (2006)Strong-Form Efficiency with M…Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …Continuous auctions and insider trading: uniqueness and risk aversion (2003)Continuous auctions and insid…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Noise Trader Risk in Financial Markets (1990)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)A general version of the fundamental theorem of asset pricing (1994)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1995Market microstructure theory1,305 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1971The Only Game in Town855 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 1996Strategic Trading When Agents Forecast the Forecasts of Others507 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 1981An Introduction to the Theory of Rational Expectations Under Asymmetric Information430 cited
  • 2000Imperfect Competition among Informed Traders

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329 cited

Cited by

  • 2015High-Frequency Trading and Market Performance197 cited
  • 2019Back-Running: Seeking and Hiding Fundamental Information in Order Flows*196 cited
  • 2016Insider Trading, Stochastic Liquidity, and Equilibrium Prices182 cited
  • 2008How to Define Illegal Price Manipulation142 cited
  • 2019Chasing Private Information122 cited
  • 2008Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error120 cited
  • 2010Insider Trading With a Random Deadline114 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics108 cited
  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 2007Working Orders in Limit Order Markets and Floor Exchanges98 cited
  • 2008INFORMATION-BASED ASSET PRICING95 cited
  • 2006Strong-Form Efficiency with Monopolistic Insiders73 cited
  • 2003Continuous auctions and insider trading: uniqueness and risk aversion67 cited
  • 2017Identifying Information Asymmetry in Securities Markets67 cited
  • 2012Insider Trading, Stochastic Liquidity and Equilibrium Prices65 cited
  • 2023Legal Risk and Insider Trading59 cited