NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Pierre Collin-Dufresne, Vyacheslav Fos

NBER Working Paper No. 18451
Issued in October 2012

---- Acknowledgements -----

We thank Bruno Biais, Thierry Foucault, Gur Huberman, Larry Glosten, Wei Jiang, Norman Schuerhoff, Semyon Malamud and seminar participants at Copenhagen Business School, University of Illinois at Urbana-Champaign, ESADE, the SFI-Finrisk meeting and, especially, Kerry Back, Darrell Duffie and Julien Hugonnier for many helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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