一个固定的凯尔设置：微观传播模型
A Stationary Kyle Setup: Microfounding propagator models
摘要：
我们提供了一个经济上合理的微观基础，线性价格影响模型，通过推导它们作为一个合适的代理系统的平衡。我们的设置概括了著名的凯尔模型，通过放弃一个终端的基本信息被揭示的假设，以描述一个平稳的市场，同时保留代理人的理性和信息不对称。我们研究了任意高斯噪声交易和基本信息的平稳均衡，并表明该设置是兼容的普遍价格扩散在小的时候，和非普遍的均值回复在基本面波动衰减的时间尺度。我们的模型提供了一个可测试的价格波动，基本面波动幅度和市场交易量之间的关系。
英文摘要：
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.
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