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An Infinite-Dimensional Insider Trading Game

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  • Christian Keller
  • Michael C. Tseng

Abstract

We generalize the seminal framework of Kyle (1985) to a many-asset setting, bridging the gap between informed-trading theory and modern trading practices. Specifically, we formulate an infinite-dimensional Bayesian trading game in which the informed trader's private information may concern arbitrary aspects of the cross-sectional payoff structure across a continuum of traded assets. In this general setting, we obtain a parsimonious equilibrium characterized by a single scalar fixed point, yielding closed-form characterizations of equilibrium trading strategy, price impact within and across markets, and the informational efficiency of equilibrium prices.

Suggested Citation

  • Christian Keller & Michael C. Tseng, 2026. "An Infinite-Dimensional Insider Trading Game," Papers 2602.21125, arXiv.org.
    • Handle: RePEc:arx:papers:2602.21125
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    File URL: http://arxiv.org/pdf/2602.21125
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