Strategic Insider Trading Equilibrium With a Non-Fiduciary Market Maker

@article{Aase2019StrategicIT,
  title={Strategic Insider Trading Equilibrium With a Non-Fiduciary Market Maker},
  author={Knut K. Aase and Bernt Oksendal},
  journal={Mutual Funds},
  year={2019}
}
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected profits. This has several implications for the equilibrium, the most important being that by setting a modest fee conditional of the order flow, the market maker is able to obtain a profit of the order of magnitude, and even better than, a perfectly informed insider. Our model… 
1 Citations

List of Publications

1. ‘Selected Topics from Rational Approximation’ (In Norwegian) (141 pages). Cand. Real. thesis at the University of Oslo 1970. 2. ‘R(X) as a Dirichlet algebra and representation of orthogonal

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