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The Multivariate Kyle Model: More is Different
11 references·0 citing·33 second hop
The Multivariate Kyle Model: More is Different (2018)The Multivariate Kyle Model: More is Diff…Trades, Quotes and Prices (2018)Trades, Quotes and PricesCross-impact and no-dynamic-arbitrage (2018)Cross-impact and no-dynamic-a…Trading Lightly: Cross-Impact and Optimal Portfolio Execution (2017)Trading Lightly: Cross-Impact…Dissecting cross-impact on stock markets: an empirical analysis (2017)Dissecting cross-impact on st…Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions (2016)Multivariate Transient Price …Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems (2016)Markovian Nash equilibrium in…Strategic Cross-Trading in the U.S. Stock Market (2013)Strategic Cross-Trading in th…Asymmetric information and imperfect competition in a continuous time multivariate security model (2004)Asymmetric information and im…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Imperfect Competition in a Multi-Security Market with Risk Neutrality (1994)Imperfect Competition in a Mu…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Market microstructure theory (1995)Continuous Martingales and Brownian Motion (1999)Financial equilibrium with asymmetric information and random horizon (2016)Principal-Agent Problem with Common Agency Without Communication (2018)On the Impossibility of Informationally Efficient Markets (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods (2007)The on-the-run liquidity phenomenon (2009)Testing for Information Asymmetries in Real Estate Markets (2015)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)Optimal trading strategy and supply/demand dynamics (2012)Multi-dimensional optimal trade execution under stochastic resilience (2019)Measuring the Information Content of Stock Trades (1991)Noise Dressing of Financial Correlation Matrices (1999)From microscopic price dynamics to multidimensional rough volatility models (2021)Graph-Based Methods for Forecasting Realized Covariances (2022)The inelastic market hypothesis: a microstructural interpretation (2022)Inferring Trade Direction from Intraday Data (1991)Cross-impact of order flow imbalance in equity markets (2023)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Order imbalance, liquidity, and market returns (2002)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Dealing with Dealers: Sovereign CDS Comovements (2017)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Long-term ecology of investors in a financial market (2018)Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (2023)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2018Trades, Quotes and Prices159 cited
  • 1994Imperfect Competition in a Multi-Security Market with Risk Neutrality132 cited
  • 2017Dissecting cross-impact on stock markets: an empirical analysis70 cited
  • 2013Strategic Cross-Trading in the U.S. Stock Market67 cited
  • 2018Cross-impact and no-dynamic-arbitrage46 cited
  • 2016Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions29 cited
  • 2016Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems25 cited
  • 2004Asymmetric information and imperfect competition in a continuous time multivariate security model23 cited
  • 2017Trading Lightly: Cross-Impact and Optimal Portfolio Execution22 cited

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