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The one-period model of insider trading introduced by Kyle [35] has remained a foundational paradigm in financial economics, illuminating the interaction between informed traders, noise traders, and market makers. This review revisits the model’s assumptions and core logic, surveys major theoretical and structural extensions—including risk aversion, overconfidence, strategic competition, and information heterogeneity and evaluates its role in broader economic modeling. By integrating perspectives from applied mathematics, computational modeling, and ethical finance, we propose new directions that expand the model’s relevance to modern market design, policymaking, and value-based trading systems.

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Review of the Single-Period Kyle Model (1985): Foundations, Extensions, and Interdisciplinary Futures

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  • 发表日期：

    2025年

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  • Wassim Daher,
  • Sadeq Damrah,
  • Harun Aydilek,
  • Elias G. Saleeby

摘要

The one-period model of insider trading introduced by Kyle [35] has remained a foundational paradigm in financial economics, illuminating the interaction between informed traders, noise traders, and market makers. This review revisits the model’s assumptions and core logic, surveys major theoretical and structural extensions—including risk aversion, overconfidence, strategic competition, and information heterogeneity and evaluates its role in broader economic modeling. By integrating perspectives from applied mathematics, computational modeling, and ethical finance, we propose new directions that expand the model’s relevance to modern market design, policymaking, and value-based trading systems.