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Auctions of Divisible Goods: On the Rationale for the Treasury Experiment
We compare a sealed-bid uniform-price auction (the Treasury's experimental format) with a sealed bid discriminatory auction (the Treasury's format heretofore), assuming the good is perfectlyExpand
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Insider Trading in Continuous Time
The continuous-time version of A. Kyle's (1985) model of asset pricing with asymmetric information is studied. It is shown that there is a unique equilibrium pricing rule within a certain class. ThisExpand
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Asymmetric Information and Options
In an extension of the Kyle (1985) model of continuous insider trading, it is shown that asymmetric information can make it impossible to price options by arbitrage. Even when an option would appearExpand
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Asset Pricing and Portfolio Choice Theory
In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for assetExpand
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Asset pricing for general processes
Abstract This paper presents some asset pricing results for the general case in which asset prices can jump. Asset gains (price plus cumulative dividends) processes are assumed to be specialExpand
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Information in Securities Markets: Kyle Meets Glosten and Milgrom
This paper analyzes models of securities markets with a single strategic informed trader and competitive market makers. In one version, uninformed trades arrive as a Brownian motion and market makersExpand
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Imperfect Competition among Informed Traders
We analyze competition among informed traders in the continuous-time Kyle(1985) model, as Foster and Viswanathan (1996) do in discrete time. We explicitly describe the unique linear equilibrium whenExpand
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Long-Lived Information and Intraday Patterns
This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived informationExpand
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Implied Probabilities in GMM Estimators
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Auctions of divisible goods with endogenous supply
Abstract Uniform-price auctions are studied in which the seller may cancel part of the supply after observing the bids. This feature eliminates many of the ‘collusive seeming’ equilibria of theExpand
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