2026/02/24 by Christian Keller, Michael C. Tseng · 1 voice
Economics, Econometrics and Finance · #q-fin.MF #econ.TH #q-fin.GN #q-fin.TR
arxiv published 2026/02/24 · arxiv updated 2026/03/20
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.