medium · Market Microstructure
A stock trades at 50.00. The standard deviation of fundamental value is √(Σ_0) = 2 and the standard deviation of noise trading is σ_u = 10,000 shares.
If a net order imbalance of +1,000 shares is observed, what is the expected price change according to the Kyle (1985) model?
- 0.20
- 0.10
- 0.01
- 0.50
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