Related papers: An Infinite-Dimensional Insider Trading Game

We consider finite-horizon and infinite-horizon versions of a dynamic game with $N$ selfish players who observe their types privately and take actions that are publicly observed. Players' types evolve as conditionally independent Markov…

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 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 timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

We consider a Kyle-type model where insider trading takes place among a potentially large population of liquidity traders and is subject to legal penalties. Insiders exploit the liquidity provided by the trading masses to "camouflage" their…

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 class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…

The Kyle model describes how an equilibrium of order sizes and security prices naturally arises between a trader with insider information and the price providing market maker as they interact through a series of auctions. Ever since being…

We study Bayesian coordination games where agents receive noisy private information over the game's payoff structure, and over each others' actions. If private information over actions is precise, we find that agents can coordinate on…

We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…

The assumptions of necessary rationality and necessary knowledge of strategies, also known as perfect prediction, lead to at most one surviving outcome, immune to the knowledge that the players have of them. Solutions concepts implementing…

We propose a learning dynamics to model how strategic agents repeatedly play a continuous game while relying on an information platform to learn an unknown payoff-relevant parameter. In each time step, the platform updates a belief estimate…

We study information design in games where players choose from a continuum of actions and have continuously differentiable payoffs. We show that an information structure is optimal when the equilibrium it induces can also be implemented in…

This paper considers an infinitely repeated three-player Bayesian game with lack of information on two sides, in which an informed player plays two zero-sum games simultaneously at each stage against two uninformed players. This is a…

We introduce a solution concept for extensive-form games of incomplete information in which players need not assign likelihoods to what they do not know about the game. This is embedded in a model in which players can hold multiple priors.…

There has been a recent surge of interest in the role of information in strategic interactions. Much of this work seeks to understand how the realized equilibrium of a game is influenced by uncertainty in the environment and the information…

The combination of the Bayesian game and learning has a rich history, with the idea of controlling a single agent in a system composed of multiple agents with unknown behaviors given a set of types, each specifying a possible behavior for…

Empirically, many strategic settings are characterized by stable outcomes in which players' decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations in the presence of incomplete…

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…

In this paper, we consider a distributed Bayesian Nash equilibrium (BNE) seeking problem in incomplete-information aggregative games, which is a generalization of Bayesian games and deterministic aggregative games. We handle the aggregation…