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arXiv · 2602.21125

An Infinite-Dimensional Insider Trading Game

Christian Keller·Michael C. Tseng
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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.

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Christian Keller, Michael C. Tseng. 2026-02-24. An Infinite-Dimensional Insider Trading Game. https://arxiv.org/abs/2602.21125

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