发表机构
Centre for Quantum Technologies, National University of Singapore; School of Computing, National University of Singapore（新加坡国立大学量子技术中心; 新加坡国立大学计算机学院）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
该研究基于Kyle模型，分别用经典随机游走和量子游走建模资产未来价值，分析市场均衡，发现量子情形下策略和定价呈非线性跳跃，但利润线性增长。
AI 中文摘要
开创性的Kyle模型为理解单一资产市场模型中知情交易者的价格影响提供了一个框架。我们研究了资产未来价值分别由经典随机游走和连续时间量子游走建模的变体。在这些假设下，我们解析近似并数值识别了风险中性做市商与知情交易者之间的市场均衡。在经典均衡中，知情交易者采用线性策略，而做市商的定价规则类似于逻辑曲线。知情交易者的利润也被确定为随时间t次线性增长。在量子均衡中，知情交易者的策略形成多个簇，定价规则相应表现出多次跳跃。尽管均衡的非线性增加，知情交易者的利润随时间t线性增长。
英文摘要
The seminal Kyle model offers a framework to understand the price impact of an informed trader in a market model for a single asset. We study variants in which the asset's future value is modeled by a classical random walk and by a continuous-time quantum walk, respectively. With these assumptions, we analytically approximate and numerically identify the market equilibrium between risk-neutral market maker and informed trader. In the classical equilibrium, the informed trader possesses a linear strategy, whereas the market maker's pricing rule resembles a logistic curve. The informed trader's profit is also identified to grow sub-linearly with time t. In the quantum equilibrium, the informed trader's strategy forms multiple clusters and the pricing rule exhibits multiple jumps correspondingly. Despite the increasing non-linearity of the equilibrium, the informed trader's profit grows linearly with time t.
