论文标题
固定的凯尔设置：微功能传播器模型
A Stationary Kyle Setup: Microfounding propagator models
论文作者
论文摘要
我们通过将其作为合适的基于代理的系统的均衡来为线性价格影响模型提供经济上合理的微观基础。我们的设置概括了众所周知的凯尔模型，它通过删除了终端时间的假设，在该假设中揭示了基本信息，以描述一个固定市场，同时保留了代理商的合理性和不对称信息。我们研究了任意高斯噪声交易和基本信息的固定平衡，并表明该设置与小时的通用价格扩散兼容，而在时间尺度上，基本衰减中波动的时间尺度上的非宇宙均值逆转。我们的模型提供了可检验的价格，价格波动，基本面的波动和市场交易的数量水平之间。
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the well-known Kyle model, by dropping the assumption of a terminal time at which fundamental information is revealed so to describe a stationary market, while retaining agents' rationality and asymmetric information. We investigate the stationary equilibrium for arbitrary Gaussian noise trades and fundamental information, and show that the setup is compatible with universal price diffusion at small times, and non-universal mean-reversion at time scales at which fluctuations in fundamentals decay. Our model provides a testable relation between volatility of prices, magnitude of fluctuations in fundamentals and level of volume traded in the market.
