An informed broker's optimal policy is to conceal the drift until a deterministic critical time, then disclose it fully, with an explicit piecewise control that is C/sqrt(N) optimal for finite trader populations.
Market-making by a foreign exchange dealer.Risk Magazine (Cutting Edge), 2022
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Optimal hedging of an informed broker facing many traders
An informed broker's optimal policy is to conceal the drift until a deterministic critical time, then disclose it fully, with an explicit piecewise control that is C/sqrt(N) optimal for finite trader populations.