Game Equilibrium Under the Condition of Heterogeneous Information

This paper establishes a two-period strategic game model with rational expectation tool to examine the trading behavior and the equilibrium pricing under the condition of heterogeneous private information.It proves that there exists a linear equilibrium when some special condition is satisfied and gives the analytical form of trading strategy and equilibrium price.Finally,it solves problem of the equilibrium numerically and indicates that the insider would exploit his private information gradually in order to obtain maximum profit.