论文标题
依赖路径的凯尔平衡模型
Path-dependent Kyle equilibrium model
论文作者
论文摘要
我们考虑了一种拍卖类型的平衡模型，其内部人士与凯尔（Kyle）最初在1985年最初引入的均衡模型一致，然后扩展到1992年的连续时间设置。本文引入的新颖性是，我们根据总需求的整个需求来处理一般价格的功能。通过使用功能性ITôCilculus，我们为存在平衡提供了必要和足够的条件。此外，我们考虑了风险中性的案例和规避风险的内部案例。
We consider an auction type equilibrium model with an insider in line with the one originally introduced by Kyle in 1985 and then extended to the continuous time setting by Back in 1992. The novelty introduced with this paper is that we deal with a general price functional depending on the whole past of the aggregate demand, i.e. we work with path-dependency. By using the functional Itô calculus, we provide necessary and sufficient conditions for the existence of an equilibrium. Furthermore, we consider both the cases of a risk-neutral and a risk-averse insider.
