Generalized Kyle-Back Insider Trading Model with Dynamic Information

Explore a generalized Kyle-Back strategic insider trading model in this USC Probability and Statistics Seminar talk. Delve into the complexities of dynamic information usage by insiders observing instantaneous asset movements influenced by market prices. Learn about the Markovization process using auxiliary diffusion, and discover the main technical tool: Stochastic Two-Point Boundary Value Problem (STPBVP). Understand how the pricing rule functions and Kyle-Back equilibrium are determined through a non-linear filtering approach and forward-backward SDE decoupling field. Follow the presentation's structure, covering topics such as problem formulation, dynamic Markovian bridge, conditioning and minimal probability, and the FKK equation. Gain insights into this collaborative work between Ying Tan and Jin Ma, expanding your knowledge of advanced probability and statistics concepts in financial modeling.

Intro
Kyle-Back Insider Trading Model
Problem Formulation
A Markovization/Decoupling Procedure
The Main Goals
Dynamic Markovian Bridge
Remarks on Requirement (3)
A Two-point Boundary Value Problem
Conditioning and Minimal Probability
An Observation
FKK Equation Revisited
A More General FBSDE (without affine structure)