论文标题
具有动态信息的广义凯尔·巴克（Kyle-Back）战略内幕交易模型
A Generalized Kyle-Back Strategic Insider Trading Model with Dynamic Information
论文作者
论文摘要
在本文中，我们考虑了一类广义的凯尔·巴克（Kyle-Back）战略内幕交易模型，其中内部人能够通过观察基础资产的瞬时移动来使用所获得的动态信息，这些信息允许受其市场价格影响。由于这样的模型将在很大程度上属于高斯范式之外，因此我们将以加权的总过程的精神（例如\ cite \ cite {ccd11}}的精神，作为“定价规则”的一部分来引入辅助扩散过程。作为解决Kyle-back均衡的主要技术工具，我们研究了一类随机的两点边界值问题（STPBVP），该问题类似于文献中动态的马尔可夫桥，但没有坚持其本地的Martingale要求。在STPBVP的溶液具有仿射结构的情况下，我们表明，定价规则函数，凯尔 - 背式平衡可以通过通过非线性滤波方法获得的前回向SDE的脱钩场以及一组兼容条件来确定。
In this paper 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 diffusion process, in the spirit of the weighted total order process of, e.g., \cite{CCD11}, as a part of the "pricing rule". As the main technical tool in solving the Kyle-Back equilibrium, we study a class of Stochastic Two-Point Boundary Value Problem (STPBVP), which resembles the dynamic Markovian 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.
