英文标题：
《On pricing rules and optimal strategies in general Kyle-Back models》
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作者：
Umut \\c{C}etin and Albina Danilova
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最新提交年份：
2021
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英文摘要：
  The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules used in current literature, the value function of the insider can be finite when her strategies are restricted to be absolutely continuous and infinite when this restriction is not imposed. This implies that the folk result doesn\'t hold for those pricing rules and that they are not consistent with equilibrium. We derive the necessary conditions for a pricing rule to be consistent with equilibrium and prove that, when a pricing rule satisfies these necessary conditions, the insider\'s optimal strategy is absolutely continuous, thus obtaining the classical result in a more general setting.   This, furthermore, allows us to justify the standard assumption of absolute continuity of insider\'s strategies since one can construct a pricing rule satisfying the necessary conditions derived in the paper that yield the same price process as the pricing rules employed in the modern literature when insider\'s strategies are absolutely continuous.
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中文摘要：
Kyle-Back模型中的folk结果表明，当内部人员的可接受策略被限制为绝对连续的策略时，内部人员的价值函数保持不变。本文证明，对于当前文献中使用的一大类定价规则，当内部人的策略被限制为绝对连续时，其价值函数可以是有限的，而当不施加此限制时，其价值函数可以是无限的。这意味着民间的结果并不适用于这些定价规则，它们与均衡不一致。我们推导了定价规则与均衡一致的必要条件，并证明了当定价规则满足这些必要条件时，内部人的最优策略是绝对连续的，从而在更一般的情况下获得了经典结果。此外，这使我们能够证明内幕策略绝对连续性的标准假设是正确的，因为当内幕策略是绝对连续的时，我们可以构造一个满足本文推导的必要条件的定价规则，从而产生与现代文献中采用的定价规则相同的价格过程。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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