The Multivariate Kyle model: More is different

Autor:	del Molino, Luis Carlos García, Mastromatteo, Iacopo, Benzaquen, Michael, Bouchaud, Jean-Philippe
Rok vydání:	2018
Předmět:	Quantitative Finance - Trading and Market Microstructure Condensed Matter - Statistical Mechanics
Druh dokumentu:	Working Paper
Popis:	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 pathologies encountered in recent attempts to calibrate cross-impact matrices. As an illustration, we determine the empirical cross impact matrix of US. Treasuries, and compare the results with recent alternative calibration methods. Comment: 30 pages, 5 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1806.07791 Zobrazit plný text záznamu View this record from Arxiv