Insider Trading, Stochastic Liquidity, and Equilibrium Prices
将Kyle（1985）的内幕交易模型扩展到噪声交易波动率服从一般随机过程的情形，发现均衡中价格冲击和价格波动都是随机的，且价格波动与交易量正相关，产生内生随机过程。
We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the fundamental value is constant. The volatility of price volatility appears 'excessive' because insiders choose to trade more aggressively (and thus more information is revealed) when uninformed volume is higher and price impact is lower. This generates a positive relation between price volatility and trading volume, giving rise to an endogenous subordinate stochastic process for prices.