Related papers: Multidimensional Kyle-Back model with a risk avers…
We show that the problem of existence of equilibrium in Kyle's continuous time insider trading model can be tackled by considering a forward-backward system coupled via an optimal transport type constraint at maturity. The forward component…
We investigate a Kyle model under Gaussian assumptions where a risk-averse informed trader has imperfect information on the fundamental price of an asset. We show that an equilibrium can be constructed by considering an optimal transport…
We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duality and Monge-Kantorovich duality. We use these connections…
This paper studies a Kyle-Back model with a risk-averse insider possessing exponential utility and a dynamic stochastic signal about the asset's terminal fundamental value. While the existing literature considers either risk-neutral…
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…
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected profits. This has…
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics. For distributions with positive support, our…
Classical Kyle-type models of informed trading typically treat noise trader demand as purely exogenous. In reality, many market participants react to price movements and news, generating feedback effects that can significantly alter market…
We consider an auction type equilibrium model with an insider in line with the one originally introduced by Kyle in 1985 and then extended to the continuous time setting by Back in 1992. The novelty introduced with this paper is that we…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
In this paper we consider a class of generalized Kyle-Back strategic insider trading models in which the insider is able to use the dynamic information obtained by observing the instantaneous movement of an underlying asset that is allowed…
We present a new discrete time version of Kyle's (1985) classic model of insider trading, formulated as a generalised extensive form game. The model has three kinds of traders: an insider, random noise traders, and a market maker. The…
In this paper we study the Kyle-Back strategic insider trading equilibrium model in which the insider has an instantaneous information on an asset, assumed to follow an Ornstein-Uhlenback-type dynamics that allows possible influence by the…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…
We solve a generalized Kyle model type problem using Monge-Kantorovich duality and backward stochastic partial differential equations. First, we show that the the generalized Kyle model with dynamic information can be recast into a terminal…
We generalize the seminal framework of Kyle (1985) to a many-asset setting, bridging the gap between informed-trading theory and modern trading practices. Specifically, we formulate an infinite-dimensional Bayesian trading game in which the…
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of n correlated securities. We prove the unicity of a…
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle's equilibrium is not stable. These…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…