Construct · 1 fields · 1 citations

kyle's lambda: a standalone construct

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Market microstructure

the sensitivity of price to order flow in a market with an informed insider, measuring how much prices move per unit of net trading.

In market microstructure, kyle's lambda refers to the sensitivity of price to order flow in a market with an informed insider, measuring how much prices move per unit of net trading. This meaning comes from Kyle (1985) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

flow6 names · 12 citationsjangle · five names, one experience, partly liquidity2 fields · 2 citationsjingle · one word, two constructs market3 fields · 5 citationsjingle · one word, three constructs

References

Kyle, A. S. (1985). Continuous Auctions and Insider Trading. Econometrica, 53(6), 1315. https://doi.org/10.2307/1913210

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