Continuous Auctions and Insider Trading
IntermediateAny horizonTheoryTestable with your data
Introduces Kyle's lambda: an informed trader hides in noise flow and prices move linearly with net order flow. The root of most impact models.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- Any horizon
- Data needed
- Trades, L1 quotes Set what data you have
- Themes
- MicrostructurePrice impact
- Assets
- Equities
- Market
- Global