论文标题
凯尔的知情交易模型中的最佳运输和风险规避
Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading
论文作者
论文摘要
我们在最佳运输理论与凯尔模型的动态版本之间建立了联系，包括通过共轭双重性和Monge-Kantorovich二元性来获得知情交易利润的新特征。我们使用这些连接将模型扩展到多个资产，一般分配和规避风险的做市商。借助规避风险的做市商，流动性较低，资产会出现短期逆转，风险溢价取决于做市商的库存，这是振兴。我们通过表明隐含的波动性预测股票收益的股票和期权交易和做市商的风险避开股票时，可以预测股票收益，从而说明了该模型。
We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duality and Monge-Kantorovich duality. We use these connections to extend the model to multiple assets, general distributions, and risk-averse market makers. With risk-averse market makers, liquidity is lower, assets exhibit short-term reversals, and risk premia depend on market maker inventories, which are mean reverting. We illustrate the model by showing that implied volatilities predict stock returns when there is informed trading in stocks and options and market makers are risk averse.
