128 citations · 137 across the 4 of their papers we have counts for
3 papers · 1 filter
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
Michele Vodret, Iacopo Mastromatteo, Bence Toth +1
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders wi…
Do fundamentals shape the price response? A critical assessment of linear impact models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encode…
A Stationary Kyle Setup: Microfounding propagator models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
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 wel…