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Citation Details

Kyle’s model with stochastic liquidity

Award ID(s):: 2307729 1815017

PAR ID:: 10636604

Author(s) / Creator(s):: Ekren, Ibrahim; Mostowski, Brad; Žitković, Gordan

Publisher / Repository:: Springer Verlag

Date Published:: 2025-10-01

Journal Name:: Finance and Stochastics

Volume:: 29

Issue:: 4

ISSN:: 0949-2984

Page Range / eLocation ID:: 1195 to 1231

Subject(s) / Keyword(s):: Kyle model Backward SDE Asymmetric information Liquidity Price impact Market depth Stochastic volatility

Format(s):: Medium: X

Sponsoring Org:: National Science Foundation

Free Publicly Accessible Full Text
Accepted Manuscript
Journal Article:
https://doi.org/10.1007/s00780-025-00574-4