medium · Market Microstructure adverse-selection
An informed trader possesses a private signal δ about a security where the prior variance of value is Σ_0 = 9 and the standard deviation of noise trader flow is σ_u = 15,000.
According to the Kyle (1985) model, what is the equilibrium price impact coefficient λ?
- 0.0003
- 0.0001
- 0.0002
- 0.00005
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