{"paper":{"title":"The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["cs.CR","math.PR","q-fin.TR"],"primary_cat":"cs.GT","authors_text":"Yuki Nakamura","submitted_at":"2026-05-25T09:31:40Z","abstract_excerpt":"We extend the closed-form privacy-subsidy result of Nakamura~(2026, arXiv:2605.15746) from the single-period Kyle model to continuous-time. A committed Bayesian automated market maker observes the aggregate order flow perturbed by an independent Brownian privacy channel of diffusion intensity $\\sigma_\\varepsilon$. Under the Markovian linear equilibrium, the price-impact coefficient is $\\lambda = \\sigma_v / \\sqrt{\\sigma_u^2 + \\sigma_\\varepsilon^2}$ -- constant in time -- and the cumulative expected transfer from the protocol's liquidity pool to traders over $[0,1]$ is $|\\Pi_M| = \\sigma_v \\sigma"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2605.25631","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2605.25631/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}