Search Results for author: Kasper Larsen

Found 5 papers, 0 papers with code

Existence of an equilibrium with limited stock market participation and power utilities

no code implementations11 Feb 2024 Paolo Guasoni, Kasper Larsen, Giovanni Leoni

For constants $\gamma \in (0, 1)$ and $A\in (1,\infty)$, we prove existence and uniqueness of a solution to the singular and path-dependent Riccati-type ODE \begin{align*} \begin{cases} h'(y) = \frac{1+\gamma}{y}\big( \gamma - h(y)\big)+h(y)\frac{\gamma + \big((A-\gamma)e^{\int_y^1 \frac{1-h(q)}{1-q}dq}-A\big)h(y)}{1-y},\quad y\in(0, 1), h(0) = \gamma, \quad h(1) = 1.

Is Kyle's equilibrium model stable?

no code implementations18 Jul 2023 Umut Cetin, Kasper Larsen

In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times.

Trading constraints in continuous-time Kyle models

no code implementations16 Jun 2022 Jin Hyuk Choi, Heeyoung Kwon, Kasper Larsen

In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint.

Learning about latent dynamic trading demand

no code implementations27 May 2021 Xiao Chen, Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi

We show that trading strategies are combinations of trading towards investor targets, liquidity provision for other investors' demands, and front-running based on learning about latent underlying trading demand imbalances and future price pressure.

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

no code implementations29 Jul 2020 Umut Cetin, Kasper Larsen

Under the weaker Engelbert-Schmidt conditions, we provide a set in which the Cauchy problem has a unique weak solution.

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