202 citations · 339 across the 38 of their papers we have counts for
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math.PR2020
Kyle-Back Models with risk aversion and non-Gaussian Beliefs
Shreya Bose, Ibrahim Ekren
We show that the problem of existence of equilibrium in Kyle's continuous time insider trading model can be tackled by considering a forward-backward system coupled via an optimal…
q-fin.TR2020★ 7 cited
Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading
Kerry Back, Francois Cocquemas, Ibrahim Ekren +1
We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duali…