Browsing Matematisk institutt by Author "Fajardo, Jose"

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  • Kyle equilibrium under random price pressure 
    Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev Financ Stud 5(3):387–409, 1992). The novelty of this paper is that we ...