Derives closed-form Kyle equilibrium under Gaussian privacy noise on order flow, with invariant price-impact product and a privacy subsidy as the break-even fee for privacy-aggregated exchanges.
arXiv preprint arXiv:1908.08777 (2019)
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Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
In continuous-time Kyle with privacy noise, cumulative expected transfer |Π_M| equals σ_v σ_ε² / √(σ_u² + σ_ε²) under Markovian linear equilibrium, analogous to LVR.
citing papers explorer
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The Privacy Subsidy: Kyle's $\lambda$ under Noise-Perturbed Order-Flow Observation
Derives closed-form Kyle equilibrium under Gaussian privacy noise on order flow, with invariant price-impact product and a privacy subsidy as the break-even fee for privacy-aggregated exchanges.
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Principal-agent problems with adverse selection: A stochastic target problem formulation
Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
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The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation
In continuous-time Kyle with privacy noise, cumulative expected transfer |Π_M| equals σ_v σ_ε² / √(σ_u² + σ_ε²) under Markovian linear equilibrium, analogous to LVR.