Tag: paper_explained

Parameter calibration in Avellaneda-Stoikov (03 Oct 2022)
Calibration procedure for $\Lambda$ and $k$ in the AS model

Kyle Model: Price Impact & Kyle's Lambda (10 Sep 2022)
How strategic informed trading produces price impact (Kyle's lambda), market depth, and the linear equilibrium

Glosten–Milgrom: Spread & Bayesian Updates (23 Aug 2022)
How markets digest information — the Glosten–Milgrom model, its bid–ask spread, and Bayesian belief updates