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Quantitative Finance · Glosarium

Apa itu Kyle model?

Definition 4.7 Microstructure and Execution · Bab 4 — Why There Is a Spread

The Kyle model has one informed trader who knows the value v∼N(p0,Σ0)v\sim\mathcal N(p_0,\Sigma_0) and chooses a quantity xx, noise traders who submit u∼N(0,σu2)u\sim\mathcal N(0,\sigma_u^2) independent of vv, and competitive risk-neutral market makers who see only the total order flow y=x+uy=x+u and set the price p=E[v∣y]p=\E[v\mid y].

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