Yuki Nakamura

The paper derives the unique linear Kyle equilibrium and identifies a closed-form 'privacy subsidy'—the break-even fee—for cryptocurrency exchanges that use Gaussian noise to obscure order flow.

This paper analyzes the bid-ask spread and welfare in the Glosten-Milgrom model when the market maker observes a noisy, privacy-protected trade direction signal, deriving a specific 'privacy subsidy' amount.

This paper extends the privacy subsidy concept from the single-period Kyle model to continuous time, deriving a closed-form expression for the cumulative expected transfer (privacy subsidy) in a continuous-time automated market maker (AMM) subject to noisy order-flow observations.