Information in Securities Markets: Kyle Meets Glosten and Milgrom

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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (2008, background): “An example from MS modelling literature in microeconomics is Back and Baruch (2004) who show the link between the two key papers in asymmetric informationmodelling, Glosten and Milgrom (1985) and Kyle (1985) using a limit with small noise.”
High‐Frequency Trading and Market Performance (2020, unknown): “F where we consider such a model—a multi-exchange version of Back and Baruch (2004)—we show that if the market is sufficiently fragmented, then equilibrium requires that the informed trader sometimes trade in a large wave even though doing so would give himself away and lead to order anticipation.”