{
  "abstract": "We study a Kyle--Back model in which the informed trader has dynamic mean--variance preferences, leading to a time-inconsistent trading problem that is formulated as an intrapersonal game. The model combines two equilibrium requirements: a trading--pricing equilibrium between the informed trader and the market maker, and a time-consistent equilibrium among the trader's successive selves. Following the framework of Cho (2003), we consider both risk-neutral and risk-averse informed traders. In the risk-neutral case, we derive the equilibrium trading strategy and price impact explicitly. In the risk-averse case, we establish existence and characterize the equilibrium through a coupled system of nonlinear ordinary differential equations. Our main technique is to reduce the equilibrium conditions to a forward--backward ODE system and resolve the resulting boundary conditions by a shooting argument. Economically, the mean--variance preference reshapes the intertemporal trade-off between exploiting current private information and preserving future informational advantage, generating a declining term structure of price impact and shifting both information revelation and informed-trading profits toward earlier stages of the trading horizon.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2609.38701",
  "author_total": 3,
  "authors": [
    {
      "name": "Shuoqing Deng"
    },
    {
      "name": "Zhichao Luo"
    },
    {
      "name": "Zhenhua Wang"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/f7k0hn9ze5g2z.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2609.38701",
  "fulltext_url": null,
  "id": "f7k0hn9ze5g2z",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2609.38701",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.OC"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7215071759",
  "pdf_url": "https://arxiv.org/pdf/2609.38701",
  "pmcid": null,
  "pmid": null,
  "published": "2026-09-30",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/f7k0hn9ze5g2z.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:25:49Z",
      "native_id": "2609.38701",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2609.38701"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.OC",
      "subfield": "optimisation-control"
    }
  ],
  "title": "Kyle meets time-inconsistency: a dynamic mean--variance informed trading problem",
  "title_text": "Kyle meets time-inconsistency: a dynamic mean--variance informed trading problem",
  "type": "preprint",
  "updated_at": "2026-10-30T12:25:49Z",
  "url": "https://research.draconitic.com/paper/f7k0hn9ze5g2z",
  "venue": "arXiv",
  "versions": []
}