Trading constraints in continuous-time Kyle models
Mathematical Finance
2022-06-17 v1
Abstract
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces output consistent with several empirical stylized facts such as autocorrelated aggregate holdings, decreasing price impacts over the trading day, and U shaped optimal trading patterns.
Keywords
Cite
@article{arxiv.2206.08117,
title = {Trading constraints in continuous-time Kyle models},
author = {Jin Hyuk Choi and Heeyoung Kwon and Kasper Larsen},
journal= {arXiv preprint arXiv:2206.08117},
year = {2022}
}