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- Choi, Jin Hyuk
- Mathematical Finance Lab.
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TRADING CONSTRAINTS IN CONTINUOUS-TIME KYLE MODELS
- Author(s)
- Choi, Jin Hyuk, Kwon, Heeyoung, Larsen, Kasper
- Issued Date
- 2023-06
- Citation
- 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.
- Publisher
- Society for Industrial and Applied Mathematics
- ISSN
- 0363-0129
- Keyword (Author)
- trading target, order-splitting, optimal order execution, market microstructure
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