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arXiv · 2610.06779

Informed Trading model with quantum walks

H. W. Shawn Liew·Patrick Rebentrost
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Abstract

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.

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H. W. Shawn Liew, Patrick Rebentrost. 2026-10-05. Informed Trading model with quantum walks. https://arxiv.org/abs/2610.06779

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