no code implementations • 11 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.

no code implementations • 18 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.

no code implementations • 16 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.

no code implementations • 27 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.

no code implementations • 29 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.

Cannot find the paper you are looking for? You can
Submit a new open access paper.

Contact us on:
hello@paperswithcode.com
.
Papers With Code is a free resource with all data licensed under CC-BY-SA.