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Quantitative Finance · Glossary

What is Kyle’s lambda?

Definition 9.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 9 — Trade-Flow Features

Kyle’s lambda is the price impact per unit of signed order flow: the slope of price changes on net signed volume over the same intervals, after the parameter of Kyle’s (1985) model of an informed trader and market makers.

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