A continuous auction model with insiders and random time of information release

In a unified framework we study equilibrium in presence of an insider having information on the firm value, announced at random time. The release-time is either predictable for the insider, or it is fully unknown. Consistently... [ view full abstract ]

In a unified framework we study equilibrium in presence of an insider having information on the firm value, announced at random time. The release-time is either predictable for the insider, or it is fully unknown. Consistently with Kyle original idea, market-makers give prices via a pricing-rule based on the asset aggregate-demand.

We aim at studying the equilibrium structure, described by the optimal insider strategy (OIS), the rational pricing-rule, and the price-pressure. We provide necessary conditions for the OIS under general asset dynamics, we study efficiency, we characterise the equilibrium both when the release-time is predictable and when it is not.