{"id":"https://openalex.org/W2904709734","doi":"https://doi.org/10.1137/20m1319267","title":"On Pricing Rules and Optimal Strategies in General Kyle--Back Models","display_name":"On Pricing Rules and Optimal Strategies in General Kyle--Back Models","publication_year":2021,"publication_date":"2021-01-01","ids":{"openalex":"https://openalex.org/W2904709734","doi":"https://doi.org/10.1137/20m1319267","mag":"2904709734"},"language":"en","primary_location":{"id":"doi:10.1137/20m1319267","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1319267","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1812.07529","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026019066","display_name":"Umut \u00c7eti\u0307n","orcid":"https://orcid.org/0000-0001-8905-853X"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Umut \u00c7etin","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5110554348","display_name":"Albina Danilova","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Albina Danilova","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5026019066"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.4543,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.64211668,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"59","issue":"5","first_page":"3973","last_page":"3998"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/absolute-continuity","display_name":"Absolute continuity","score":0.8110508918762207},{"id":"https://openalex.org/keywords/insider","display_name":"Insider","score":0.7507719397544861},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.6666976809501648},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.5064798593521118},{"id":"https://openalex.org/keywords/insider-trading","display_name":"Insider trading","score":0.4587445855140686},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.45453885197639465},{"id":"https://openalex.org/keywords/construct","display_name":"Construct (python library)","score":0.43457987904548645},{"id":"https://openalex.org/keywords/continuous-function","display_name":"Continuous function (set theory)","score":0.4337092638015747},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.37747278809547424},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3503013551235199},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3404652774333954},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.12805640697479248},{"id":"https://openalex.org/keywords/law","display_name":"Law","score":0.1006990373134613},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.09535086154937744}],"concepts":[{"id":"https://openalex.org/C118733216","wikidata":"https://www.wikidata.org/wiki/Q332504","display_name":"Absolute continuity","level":2,"score":0.8110508918762207},{"id":"https://openalex.org/C2778971194","wikidata":"https://www.wikidata.org/wiki/Q1664551","display_name":"Insider","level":2,"score":0.7507719397544861},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.6666976809501648},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.5064798593521118},{"id":"https://openalex.org/C2781078320","wikidata":"https://www.wikidata.org/wiki/Q854623","display_name":"Insider trading","level":2,"score":0.4587445855140686},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.45453885197639465},{"id":"https://openalex.org/C2780801425","wikidata":"https://www.wikidata.org/wiki/Q5164392","display_name":"Construct (python library)","level":2,"score":0.43457987904548645},{"id":"https://openalex.org/C2778199601","wikidata":"https://www.wikidata.org/wiki/Q5165476","display_name":"Continuous function (set theory)","level":3,"score":0.4337092638015747},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.37747278809547424},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3503013551235199},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3404652774333954},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.12805640697479248},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.1006990373134613},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09535086154937744},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1137/20m1319267","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1319267","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1812.07529","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1812.07529","pdf_url":"https://arxiv.org/pdf/1812.07529","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:researchonline.lse.ac.uk:113003","is_oa":true,"landing_page_url":"https://orcid.org/0000-0001-8905-853X>","pdf_url":"https://researchonline.lse.ac.uk/id/eprint/113003/1/Cetin_on_pricing_rules_and_optimal_strategies_accepted.pdf","source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"PeerReviewed"},{"id":"mag:2904709734","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1812.07529.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"pmh:oai:RePEc:ehl:lserod:113003","is_oa":false,"landing_page_url":"http://eprints.lse.ac.uk/113003/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.1812.07529","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1812.07529","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1812.07529","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1812.07529","pdf_url":"https://arxiv.org/pdf/1812.07529","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[{"score":0.4099999964237213,"display_name":"Peace, Justice and strong institutions","id":"https://metadata.un.org/sdg/16"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W1545370368","https://openalex.org/W1796326823","https://openalex.org/W1964777476","https://openalex.org/W1988832155","https://openalex.org/W1995522593","https://openalex.org/W2014234623","https://openalex.org/W2050031929","https://openalex.org/W2059850901","https://openalex.org/W2073264098","https://openalex.org/W2073958220","https://openalex.org/W2081877251","https://openalex.org/W2097415784","https://openalex.org/W2117817626","https://openalex.org/W2136519287","https://openalex.org/W2142804495","https://openalex.org/W2468672927","https://openalex.org/W2898152282","https://openalex.org/W2913794616","https://openalex.org/W2914058264","https://openalex.org/W2963481861","https://openalex.org/W2963862331","https://openalex.org/W2963880898","https://openalex.org/W3022586523","https://openalex.org/W3124824127"],"related_works":["https://openalex.org/W3121352822","https://openalex.org/W2545745492","https://openalex.org/W1964429748","https://openalex.org/W198266727","https://openalex.org/W174420399","https://openalex.org/W1488909743","https://openalex.org/W1599371996","https://openalex.org/W2951118170","https://openalex.org/W2527925258","https://openalex.org/W1490376211","https://openalex.org/W2554527898","https://openalex.org/W3122441015","https://openalex.org/W3122231476","https://openalex.org/W3124780918","https://openalex.org/W70284004","https://openalex.org/W3026541720","https://openalex.org/W3121895890","https://openalex.org/W327677894","https://openalex.org/W3122352859","https://openalex.org/W1555350183"],"abstract_inverted_index":{"The":[0],"folk":[1,73],"result":[2,74,125],"in":[3,40,126,158,172],"Kyle-Back":[4],"models":[5],"states":[6],"that":[7,71,82,161],"the":[8,12,43,47,72,91,114,123,137,154,159,163,168,173],"value":[9,44],"function":[10,45],"of":[11,36,46,140,143],"insider":[13,48],"remains":[14],"unchanged":[15],"when":[16,52,63,106,176],"her":[17,53],"admissible":[18],"strategies":[19,54,145,178],"are":[20,55,84,179],"restricted":[21,56],"to":[22,57,98,135],"absolutely":[23,59,119,180],"continuous":[24,60],"ones.":[25],"In":[26],"this":[27,64],"paper":[28,160],"we":[29],"show":[30],"that,":[31,105],"for":[32,77,94],"a":[33,95,107,127,150],"large":[34],"class":[35],"pricing":[37,79,96,108,151,169],"rules":[38,80,170],"used":[39],"current":[41],"literature,":[42],"can":[49,148],"be":[50,58,99],"finite":[51],"and":[61,81,103],"infinite":[62],"restriction":[65],"is":[66,118],"not":[67,85],"imposed.":[68],"This":[69],"implies":[70],"doesn't":[75],"hold":[76],"those":[78],"they":[83],"consistent":[86,100],"with":[87,101],"equilibrium.":[88],"We":[89],"derive":[90],"necessary":[92,112,155],"conditions":[93,156],"rule":[97,109,152],"equilibrium":[102],"prove":[104],"satisfies":[110],"these":[111],"conditions,":[113],"insider's":[115,144,177],"optimal":[116],"strategy":[117],"continuous,":[120],"thus":[121],"obtaining":[122],"classical":[124],"more":[128],"general":[129],"setting.":[130],"This,":[131],"furthermore,":[132],"allows":[133],"us":[134],"justify":[136],"standard":[138],"assumption":[139],"absolute":[141],"continuity":[142],"since":[146],"one":[147],"construct":[149],"satisfying":[153],"derived":[157],"yield":[162],"same":[164],"price":[165],"process":[166],"as":[167],"employed":[171],"modern":[174],"literature":[175],"continuous.":[181]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}