Related papers: Insider trading in discrete time Kyle games

Departing from the dominant approach focused on individual and meso-level determinants, this paper develops a macroeconomic formalization of job insecurity within a New Keynesian framework in which the standard IS-NKPC-Taylor rule block is…

We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…

In this paper, we introduce the third party to achieve the Stackelberg equilibrium with the time inconsistency in three different Stackelberg games, which are the discrete-time games, the dynamic games, and the mean field games. Here all…

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…

This paper investigates strategic interactions within a three party deception security game involving a defender, an insider, and external attackers. We propose a robust deception mechanism where the leader manipulates game parameters…

Several notions of game enjoy a Nash-like notion of equilibrium without guarantee of existence. There are different ways of weakening a definition of Nash-like equilibrium in order to guarantee the existence of a weakened equilibrium.…

We study price-discrimination games between buyers and a seller where privacy arises endogenously--that is, utility maximization yields equilibrium strategies where privacy occurs naturally. In this game, buyers with a high valuation for a…

A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our games cover as a very special case the classic two-person…

In repeated-game applications where both the collusive and non-collusive outcomes can be supported as equilibria, researchers must resolve underlying selection questions if theory will be used to understand counterfactual policies. One…

We consider a finite horizon repeated game with $N$ selfish players who observe their types privately and take actions, which are publicly observed. Their actions and types jointly determine their instantaneous rewards. In each period,…

Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…

We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling…

In this note, we prove the existence of an equilibrium concept, dubbed conditional strategy equilibrium, for non-cooperative games in which a strategy of a player is a function from the other players' actions to her own actions. We study…

An insider is defined as a team member who covertly deviates from the team's optimal collaborative control strategy in pursuit of a private objective, while maintaining an outward appearance of cooperation. Such insider threats can severely…

We give new mechanisms for answering exponentially many queries from multiple analysts on a private database, while protecting differential privacy both for the individuals in the database and for the analysts. That is, our mechanism's…

A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

We study a repeated game with payoff externalities and observable actions where two players receive information over time about an underlying payoff-relevant state, and strategically coordinate their actions. Players learn about the true…