SIAM Journal on Financial Mathematics, Volume 11, Issue 2, Page 327-357, January 2020.
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of $n$ securities. We prove the unicity of a symmetric, positive definite solution for the impact matrix and provide insights on its interpretation. We explore its implications from the perspective of empirical market microstructure and argue that it provides a sensible inference procedure to cure some pathologies encountered in recent attempts to calibrate cross-impact matrices. As an illustration, we determine the empirical cross-impact matrix of US Treasuries and compare the results with recent alternative calibration methods.

中文翻译：

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多元凯尔模型：更多不同

SIAM金融数学杂志，第11卷，第2期，第327-357页，2020年1月。
我们重新考虑风险中立的多元Kyle模型，由一个知情的单一内部知情人和一个理性竞争的做市商确定价格$ n $证券。我们证明了影响矩阵对称，正定解的唯一性，并提供了对其解释的见解。我们从经验市场微观结构的角度探讨其含义，并认为它提供了一种明智的推理程序，可以解决最近在校准交叉影响矩阵的尝试中遇到的一些病理问题。作为说明，我们确定了美国国债的经验交叉影响矩阵，并将结果与​​最新的替代校准方法进行了比较。