TRADING CONSTRAINTS IN CONTINUOUS-TIME KYLE MODELS

被引：0
|
作者：
Choi, Jin Hyuk [1 ]
Kwon, Heeyoung [1 ]
Larsen, Kasper [2 ]
机构：
[1] Ulsan Natl Inst Sci & Technol, Dept Math Sci, Ulsan 689798, South Korea
[2] Rutgers State Univ, Dept Math, Piscataway, NJ 08854 USA
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2023年 / 61卷 / 03期
基金：
新加坡国家研究基金会; 美国国家科学基金会;
关键词：
trading target; order-splitting; optimal order execution; market microstructure; ASYMMETRIC INFORMATION; CONTINUOUS AUCTIONS; EQUILIBRIUM; STRATEGIES; LIQUIDITY; MARKETS;
D O I：
10.1137/21M1446617
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces an output consistent with several empirical stylized facts such as autocorrelated aggregate holdings, decreasing price impacts over the trading day, and U shaped optimal trading patterns.
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页码：1494 / 1512
页数：19
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