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- W2767478384 abstract "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 market price. Such a model exhibits some further interplay between insider's information and the market price, and it is the first time being put into a rigorous mathematical framework of the recently developed {it conditional mean-field} stochastic differential equation (CMFSDEs). With the help of the reference probability measure concept in filtering theory, we shall first prove a general well-posedness result for a class of linear CMFSDEs, which is new in the literature of both filtering theory and mean-field SDEs, and will be the foundation for the underlying strategic equilibrium model. Assuming some further Gaussian structures of the model, we find a closed form of optimal intensity of trading strategy as well as the dynamic pricing rules. We shall also substantiate the well-posedness of the resulting optimal closed-loop system, whence the existence of Kyle-Back equilibrium. Our result recovers many existing results as special cases." @default.
- W2767478384 created "2017-11-17" @default.
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- W2767478384 date "2017-11-08" @default.
- W2767478384 modified "2023-09-24" @default.
- W2767478384 title "Kyle-Back Equilibrium Models and Linear Conditional Mean-field SDEs" @default.
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- W2767478384 doi "https://doi.org/10.48550/arxiv.1711.03223" @default.
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