arXiv subjects

Michael C. Tseng

Publications and source records attributed to Michael C. Tseng.

3 recordsLinked to original sources

arXiv2026

Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives

We study price discovery in a model where an informed agent has arbitrary private information about state probabilities and trades state-contingent claims. The model unifies the key elements of Arrow-Debreu (1954) and Kyle (1985). When the claims are options, the informed agent has arbitrary information about the underlying asset's payoff distribution and trades option portfolios. Our setting provides the first equilibrium framework that encompasses longs-tanding option-market practices and regularities, including common trading strategies and the volatility smile across strikes.

econ.GN↗

arXiv2026

An Infinite-Dimensional Insider Trading Game

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.

q-fin.MF↗

arXiv2019

A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields

We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel data models.

math.PR↗