An Infinite-Dimensional Insider Trading Game
Mathematical Finance
2026-03-23 v3 Theoretical Economics
General Finance
Trading and Market Microstructure
Abstract
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 informed trader's private information may concern arbitrary aspects of the cross-sectional payoff structure across a continuum of traded assets. In this general setting, we obtain a parsimonious equilibrium characterized by a single scalar fixed point, which yields closed-form characterizations of equilibrium trading strategy, price impact within and across markets, and the information efficiency of equilibrium prices.
Keywords
Cite
@article{arxiv.2602.21125,
title = {An Infinite-Dimensional Insider Trading Game},
author = {Christian Keller and Michael C. Tseng},
journal= {arXiv preprint arXiv:2602.21125},
year = {2026}
}