Spectral Microstructure: Kyle's Lambda, Price Discovery, and the HFT Debate through the Latent Lens
We recast Kyle's (1985) insider-trading and price-discovery story in the Latent spectral framework: price impact $\lambda$, spreads, and depth are read through the Latent Number $\rho$ of the price signal.
Verified
13 claims
1,764 words