Existence and convergence of discrete-time Kyle models with multiple insiders

Jin Choi; Kasper Larsen

Existence and convergence of discrete-time Kyle models with multiple insiders

Trading and Market Microstructure 2026-07-16 v1 Probability

Authors: Jin Choi , Kasper Larsen

Abstract

We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions which ensure the existence of a Radner equilibrium. As an application, we give further parameter restrictions which ensure all traders survive in the long run.

Keywords

Kyle model multiple insiders Radner equilibrium limited participation time preference survival

Cite

@article{arxiv.2607.15057,
  title  = {Existence and convergence of discrete-time Kyle models with multiple insiders},
  author = {Jin Choi and Kasper Larsen},
  journal= {arXiv preprint arXiv:2607.15057},
  year   = {2026}
}