Market microstructure studies the price formation process, and how this process is affected by the organization of the market. The main objective of the paper is to understand how stock price manipulation affects the price formation within an environment where traders can trade dynamically. Based on the unique existence of equilibrium, the paper defines information entropy of trade and shows the relationship between information conveyed by each trade, the price and market maker's belief.

The extended version of Kyle [1985] is studied in a continuous time setting. The paper presents a framework to explain relationship between a return volatility and information flows in a financial market. In the model, there are three classes of agents: competitive market makers, a risk-neutral informed trader and liquidity traders. Traders trade the risky asset with the market maker in the infinite-period model. The risky asset continuously pays a certain rate of dividend. There is an informational asymmetry on a future dividend rate between the informed trader and others. The liquidity trades arrive as a Brownian motion. The informed trader receives new information about the future dividend rate at a random date and the new information is publicly released at a random date. These two dates follow Poisson process. The paper derives the equilibrium price process, calibrates the model by using the data from NYSE and analyzes economic importance of information announcement. The contribution of the paper is to bring the canonical model of market microstructure to the stage of examining the real data and study effects of information announcement on return volatility.

The paper extends a model of Back [1992]. In the model, there are three classes of agents: competitive market makers, a risk-neutral informed trader and liquidity traders. Traders trade the risky asset with the market maker in the infinite-period model. The value of the risky asset moves as Brownian motion. The informed trader observes the information continuously. The paper solves for an equilibrium and characterizes it.