A Generalized Kyle-Back Insider Trading Model with Dynamic Information Ying Tan University of Southern California
发布时间:2022年11月11日
浏览次数:2900
发布者: Xiaoni Tan
主讲人: Ying Tan (University of Southern California)
活动时间: 从 2022-11-17 09:30 到 10:30
场地: Online
In this project, 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 to be influenced by its market price. Since such a model will be largely outside the Gaussian paradigm, we shall try to Markovize it by introducing an auxiliary (factor) diffusion process, in the spirit of the weighted total order process, as a part of the “pricing rule". As the main technical tool in solving the Kyle-Back equilibrium in such a setting, we study a class of Stochastic Two-Point Boundary Value Problem (STPBVP), which resembles the dynamic Markov bridge in the literature, but without insisting on its local martingale requirement. In the case when the solution of the STPBVP has an affine structure, we show that the pricing rule functions, whence the Kyle-Back equilibrium, can be determined by the decoupling field of a forward-backward SDE obtained via a non-linear filtering approach, along with a set of compatibility conditions. This is a joint work with Jin Ma.
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