AN EQUIVALENCE BETWEEN THE KYLE (1985) AND THE GLOSTEN-MILGROM (1985)MODELS

Authors
KRISHNAN M
Citation
M. Krishnan, AN EQUIVALENCE BETWEEN THE KYLE (1985) AND THE GLOSTEN-MILGROM (1985)MODELS, Economics letters, 40(3), 1992, pp. 333-338
Citations number
3
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
40
Issue
3
Year of publication
1992
Pages
333 - 338
Database
ISI
SICI code
0165-1765(1992)40:3<333:AEBTK(>2.0.ZU;2-R
Abstract
This note introduces a binary version of the Kyle (1985) model, and sh ows that there is an essential equivalence between the Kyle (1985) and Glosten-Milgrom (1985) extensive forms. In particular, this allows th e pricing rule in a binary version of the Kyle (1985) model to be inte rpreted as the bid-ask quotes in a Glosten-Milgrom (1985) model.