An Infinite-Dimensional Insider Trading Game
Fuente:
arXiv
Salvato in:
| Autori principali: | , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2026
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866918399656853504 |
|---|---|
| author | Keller, Christian Tseng, Michael C. |
| author_facet | Keller, Christian Tseng, Michael C. |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_21125 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | An Infinite-Dimensional Insider Trading Game Keller, Christian Tseng, Michael C. Mathematical Finance Theoretical Economics General Finance Trading and Market Microstructure 60L20, 62C10, 91A10, 91G20 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. |
| title | An Infinite-Dimensional Insider Trading Game |
| topic | Mathematical Finance Theoretical Economics General Finance Trading and Market Microstructure 60L20, 62C10, 91A10, 91G20 |
| url | https://arxiv.org/abs/2602.21125 |