英文标题：
《The Multivariate Kyle model: More is different》
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作者：
Luis Carlos Garc\\\'ia del Molino, Iacopo Mastromatteo, Michael
Benzaquen and Jean-Philippe Bouchaud
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最新提交年份：
2018
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英文摘要：
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of n correlated securities. We prove the unicity of a symmetric, positive definite solution for the impact matrix and provide insights on its interpretation. We explore its implications from the perspective of empirical market microstructure, and argue that it provides a sensible inference procedure to cure some pathologies encountered in recent attempts to calibrate cross-impact matrices. As an illustration, we determine the empirical cross impact matrix of US. Treasuries, and compare the results with recent alternative calibration methods.
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中文摘要：
我们在风险中性的环境下重新考虑多元Kyle模型，由一个完全知情的理性内幕人士和一个理性竞争的做市商，设定n个相关证券的价格。我们证明了影响矩阵的对称正定解的唯一性，并对其解释提供了见解。我们从经验市场微观结构的角度探讨其含义，并认为它提供了一个合理的推理程序，以治疗最近在校准交叉影响矩阵的尝试中遇到的一些病理学。作为说明，我们确定了我们的经验交叉影响矩阵。并将结果与最近的替代校准方法进行比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics 物理学
二级分类：Statistical Mechanics 统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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