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The Multivariate Kyle Model: More is Different · Study

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ArticleThe Multivariate Kyle Model: More is Different

Luis Carlos García del Molino2018

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Articlegreen2018

The Multivariate Kyle Model: More is Different

Luis Carlos García del Molino · Iacopo Mastromatteo · Michael Benzaquen · Jean‐Philippe Bouchaud

21 citations·0/0 files stored·SIAM Journal on Financial Mathematics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1985Continuous Auctions and Insider Trading 2001Common factors in prices, order flows, and liquidity 2018Trades, Quotes and Prices 1994Imperfect Competition in a Multi-Security Market with Risk Neutrality 2017Dissecting cross-impact on stock markets: an empirical analysis 2013Strategic Cross-Trading in the U.S. Stock Market 2018Cross-impact and no-dynamic-arbitrage 2016Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions

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Year2018

Typearticle

Published2018-01-01

VenueSIAM Journal on Financial Mathematics

ISSN-L1945-497X

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1137/18m1231997

openalex_workW2808978174

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