Multidimensional stochastic liquidity in Kyle's model of informed trading

By Ibrahim Ekren, Evangelos A. Nikitopoulos, Lu Vy

Published 2026-07-12

Everscope rating

1609.6

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: Variational Primal-Dual Formulation with Causal Optimal Transport. Problem types: Optimization, Market Making, Algorithmic Execution, Portfolio Optimization, Risk Management.

arXiv:2607.10934 · Paper rankings

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