论文标题
连续时间凯尔模型中的交易限制
Trading constraints in continuous-time Kyle models
论文作者
论文摘要
在连续的凯尔（Kyle）环境中，当内部人员面临终端交易限制时，我们证明了均衡的全球存在。我们证明，我们的均衡模型会产生与几个经验性风格化事实一致的产出，例如自相关总计持有量，在交易日内降低了价格的影响以及U形状的最佳交易模式。
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces output consistent with several empirical stylized facts such as autocorrelated aggregate holdings, decreasing price impacts over the trading day, and U shaped optimal trading patterns.
