SIAM JOURNAL ON CONTROL AND OPTIMIZATION, v.61, no.3, pp.1494 - 1512
Abstract
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.