Abstract
Kyle(1985) proposed a model of insider trading in discrete-time and continuous time, and obtained unique equilibrium. In this thesis, Our main purpose is in one-period model of Kyle to join the transaction cost in the trading process. There are an important issue about whether there exists an equilibrium as the price function is linear we discussed. First, we find out the optimal strategy . Second, we use Market Efficiency and calculus to prove that the equilibrium does not exist.