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Related Articles from SNS
The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation
Announce Type: replace Abstract: We extend the closed-form privacy-subsidy result of Nakamura~(2026, arXiv:2605.15746) from the single-period Kyle model to continuous-time. A committed Bayesian automated market maker observes the aggregate order flow perturbed by an independent Brownian privacy channel of diffusion intensity $\sigma_\varepsilon$. Under the Markovian linear equilibrium, the price-impact coefficient is $\lambda = \sigma_v / \sqrt{\sigma_u^2 + \sigma_\varepsilon^2}$ -- constant...
The Privacy Subsidy: Kyle's $\lambda$ under Noise-Perturbed Order-Flow Observation
arXiv:2605.15746v5 Announce Type: replace Abstract: Privacy-preserving cryptocurrency exchanges alter what the pricing mechanism observes about order flow. We derive the unique linear Kyle equilibrium when a committed Bayesian market maker observes order flow perturbed by independent Gaussian privacy noise. The price-impact coefficient and informed-trader strategy rescale by reciprocal factors of the privacy parameter (one down, one up), so their product is invariant.