Insider trading in sequential auction markets with risk-aversion and time-discounting
将Kyle(1985)的序贯拍卖市场分析扩展到内幕交易者风险厌恶且其私有信息长期存在时贴现交易利润的情形，发现时间贴现加剧风险厌恶对最优交易策略的影响，风险厌恶程度越大或贴现因子越小，知情者消耗信息优势越快，从而提升证券市场的流动性和效率。
We extend Kyle's [Kyle, A. S. 1985. “Continuous Auctions and Insider Trading.” Econometrica 53, 1315–1335] analysis of sequential auction markets to the case in which the insider is risk-averse and discounts her trading profits as her private information is long-lived. We see that time-discounting exacerbates the impact of risk-aversion on the optimal trading strategy of the insider. Ceteris paribus, a larger degree of risk-aversion or a smaller time-discount factor induces the informed agent to consume more rapidly her informational advantage increasing the liquidity and efficiency of the securities market.