Corpus ID: 220042303

Deep Investing in Kyle's Single Period Model

@article{Friedrich2020DeepII,
  title={Deep Investing in Kyle's Single Period Model},
  author={P. Friedrich and J. Teichmann},
  journal={arXiv: Computational Finance},
  year={2020}
}
  • P. Friedrich, J. Teichmann
  • Published 2020
  • Computer Science, Economics
  • arXiv: Computational Finance
  • The Kyle model describes how an equilibrium of order sizes and security prices naturally arises between a trader with insider information and the price providing market maker as they interact through a series of auctions. Ever since being introduced by Albert S. Kyle in 1985, the model has become important in the study of market microstructure models with asymmetric information. As it is well understood, it serves as an excellent opportunity to study how modern deep learning technology can be… CONTINUE READING

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    Continuous Auctions and Insider Trading
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