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Kyle Lambdas

In Kyle’s model, the variable 𝜆 captures price impact. Illiquidity increases with uncertainty about v and decreases with the amount of noise

Kyle argues that the market maker must find an equilibrium between profit maximization and market efficiency.

This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 288.

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Version 1.1 2019.04.16
Wrong regression with constant