Related papers: The Privacy Subsidy in Continuous-Time Kyle: Cumul…
Privacy-preserving cryptocurrency exchanges (shielded AMMs, batched swap auctions, sealed-bid order-flow auctions) alter what the pricing mechanism observes about order flow. We derive the unique linear Kyle equilibrium when a committed…
We derive a closed-form bid-ask spread and welfare decomposition for the Glosten-Milgrom 1985 sequential-trading model when the market maker observes the trade direction perturbed by a binary flip channel of probability $\eta$ -- a natural…
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 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…
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…
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the well-known Kyle model, by dropping the assumption of a terminal…
We present a differentially private mechanism to display statistics (e.g., the moving average) of a stream of real valued observations where the bound on each observation is either too conservative or unknown in advance. This is…
Privacy-preserving state estimation for linear time-invariant dynamical systems with crowd sensors is considered. At any time step, the estimator has access to measurements from a randomly selected sensor from a pool of sensors with…
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 a model where a data collector obtains data from users through a payment mechanism, aiming to learn the underlying state from the elicited data. The private signal of each user represents her knowledge about the state; and through…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
In this article, we investigate the distributed privacy preserving weighted consensus control problem for linear continuous-time multi-agent systems under the event-triggering communication mode. A novel event-triggered privacy preserving…
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 consider a scenario in which a database stores sensitive data of users and an analyst wants to estimate statistics of the data. The users may suffer a cost when their data are used in which case they should be compensated. The analyst…
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…
As the modern world becomes increasingly digitized and interconnected, distributed signal processing has proven to be effective in processing its large volume of data. However, a main challenge limiting the broad use of distributed signal…
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 focuses on the privacy-preserving distributed estimation problem with a limited data rate, where the observations are the sensitive information. Specifically, a binary-valued quantizer-based privacy-preserving distributed…