Information in Securities Markets: Kyle Meets Glosten and Milgrom
分析了一个战略知情交易者与竞争性做市商共存的证券市场模型，比较了Kyle（1985）和Glosten-Milgrom（1985）两种设定，并证明后者在知情交易者采用混合策略时存在均衡，且当非知情交易趋于布朗运动时，Glosten-Milgrom均衡收敛于Kyle均衡。
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 makers see only the order imbalance, as in Kyle (1985). In the other version, uninformed trades arrive as a Poisson process and market mak- ers see individual trades. This is similar to the Glosten–Milgrom (1985) model, except that we allow the informed trader to optimize his times of trading. We show there is an equilibrium in the Glosten–Milgrom-type model in which the informed trader plays a mixed strategy (a point process with stochastic intensity). In this equilibrium, informed and uninformed trades arrive probabilistically, as Glosten and Milgrom assume. We study a sequence of such markets in which uninformed trades become smaller and ar- rive more frequently, approximating a Brownian motion. We show that the equilibria of the Glosten–Milgrom model converge to the equilibrium of the Kyle model.