论文标题
凯尔（Kyle）与随机流动性的模型
Kyle's Model with Stochastic Liquidity
论文作者
论文摘要
我们为连续时间的凯尔（Kyle）模型构建了一个平衡，该模型具有随机流动性，基本价格的一般分布以及相关的库存和波动性动态。对于具有积极支持的分布，我们的平衡使我们能够研究噪声交易随机波动对资产波动率的影响。特别是，当基本价格是对数正态分布时，知情的贸易力量，即使价格过程本身带来了随机波动率，也可以选择噪音交易的差异。令人惊讶的是，我们发现在凯尔（Kyle）的兰伯达（Lambda）及其倒数（市场深度）中，这是平滑的。
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics. For distributions with positive support, our equilibrium allows us to study the impact of the stochastic volatility of noise trading on the volatility of the asset. In particular, when the fundamental price is log-normally distributed, informed trading forces the log-return up to maturity to be Gaussian for any choice of noise-trading volatility even though the price process itself comes with stochastic volatility. Surprisingly, we find that in equilibrium both Kyle's Lambda and its inverse (the market depth) are submartingales.
