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Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders with the Adaptive Market Hypothesis, where agents use inductive rather than deductive reasoning.
Zooming In on Equity Factor Crowding
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk.
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