The Multivariate Kyle model: More is different

@article{Molino2018TheMK,
  title={The Multivariate Kyle model: More is different},
  author={Luis Carlos Garc{\'i}a del Molino and Iacopo Mastromatteo and Michael Benzaquen and Jean-Philippe Bouchaud},
  journal={arXiv: Trading and Market Microstructure},
  year={2018}
}
  • Luis Carlos García del Molino, Iacopo Mastromatteo, +1 author Jean-Philippe Bouchaud
  • Published 2018
  • Economics, Physics
  • arXiv: Trading and Market Microstructure
  • We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of n correlated securities. We prove the unicity of a symmetric, positive definite solution for the impact matrix and provide insights on its interpretation. We explore its implications from the perspective of empirical market microstructure, and argue that it provides a sensible inference procedure to cure some… CONTINUE READING

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