Related papers: An Infinite-Dimensional Insider Trading Game
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…
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…
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…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
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…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Kyle model in continuous time where the insider may be subject to legal penalties is considered. In equilibrium the insider internalises this legal risk by trading less aggressively. The equilibrium is characterised via the solution of a…
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 develop a hierarchical Bayesian dynamic game for competitive inventory and pricing under incomplete information. Two firms repeatedly choose order quantities and prices while facing two layers of uncertainty: unknown market demand and…
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…
In dynamic games with asymmetric information structure, the widely used concept of equilibrium is perfect Bayesian equilibrium (PBE). This is expressed as a strategy and belief pair that simultaneously satisfy sequential rationality and…
This paper focuses on finite-player incomplete information games where players may hold mutually inconsistent beliefs without a common prior. We introduce absolute continuity of beliefs, extending the classical notion of absolutely…
To what extent can an external observer observing an equilibrium action distribution in an incomplete information game infer the underlying information structure? We investigate this issue in a general linear-quadratic-Gaussian framework. A…
This paper considers a continuous time Kyle-Back model which is a game problem between an insider and a market marker. The existing literature typically focuses on the existence of equilibrium by using the PDE approach, which requires…
In~[1],authors considered a general finite horizon model of dynamic game of asymmetric information, where N players have types evolving as independent Markovian process, where each player observes its own type perfectly and actions of all…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
A Bayesian game is said to have nested information if the players are ordered, and each player knows the types of all players that follow her in that order. We prove that all multiplayer Bayesian games with finite actions spaces, bounded…
This paper studies a multi-player, general-sum stochastic game characterized by a dual-stage temporal structure per period. The agents face uncertainty regarding the time-evolving state that is realized at the beginning of each period.…
In this paper, we present a multi-period trading model in the style of Kyle (1985)'s inside trading model, by assuming that there are at least two insiders in the market with long-lived private information, under the requirement that each…