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An Infinite-Dimensional Insider Trading Game

Author

Listed:
  • 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, which yields closed-form characterizations of equilibrium trading strategy, price impact within and across markets, and the information efficiency of equilibrium prices.

Suggested Citation

  • Christian Keller & Michael C. Tseng, 2026. "An Infinite-Dimensional Insider Trading Game," Papers 2602.21125, arXiv.org, revised Mar 2026.
    • Handle: RePEc:arx:papers:2602.21125
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    References listed on IDEAS

    as
    1. Christian Keller & Michael C. Tseng, 2023. "Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives," Papers 2302.13426, arXiv.org, revised Mar 2026.
    2. Kerry Back & C. Henry Cao & Gregory A. Willard, 2000. "Imperfect Competition among Informed Traders," Journal of Finance, American Finance Association, vol. 55(5), pages 2117-2155, October.
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