Price Formation,
Information
and Equilibrium.

A price can reveal value without revealing the cost of unwinding a position. In a Kyle-style model with staggered execution, a prime broker uses order flow and its client’s order to forecast remaining informed trading. Markets with the same price-update variance can have different margin sensitivity to signed order-flow surprises; binding requirements induce forced position reductions. The model focuses on the liquidity and closeout-execution component of margin.

Reframes FIFO priority as state-contingent adverse-selection exposure, linking fill toxicity, cancellation, hidden effective rank, and Kyle / Back information states.

Studies how information, liquidity pressure, and trend feedback shape return covariance across horizons. Within the model, two adjustment rates permit at most one sign change; Indian-equity patterns provide descriptive evidence. Revised 24 September 2026.

Characterizes exactly when Jamshidian's decomposition survives in multifactor exponential-affine models: bond loadings must lie on a common positive ray. Near that boundary, projected one-factor strikes yield an upper bound with explicit error control.

Submitted to Finance Research Letters. Uses 417 matched green bonds across 30 countries to study how long-term orientation and uncertainty avoidance shape greenium heterogeneity.

In a price-time-priority market, an order ahead in the queue executes more often but can earn less. In a limit order book where dealers cancel and resubmit at random times, we construct an equilibrium in which an order fills more often than the one behind it yet earns less, while every dealer profits from supplying liquidity. Dealers also pay to surrender a valuable place in the queue to avoid being moved up into a worse position. A two-round extension adds learning, repricing and repeated informed trading. Version 2, October 2026.