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.
In: Innovations in Theoretical Computer Science (ITCS 2024) (2024), arXiv:2303.00208
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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.