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. Building on these ideas, we propose a stylised model able to account parsimoniously for a rich phenomenology, ranging from excess volatility to volatility clustering. While characterizing the excess-volatility dynamics, we provide a microfoundation for GARCH models. Volatility clustering is shown to be related to the self-excited dynamics induced by traders’ behavior, and does not rely on clustered fundamental innovations. Finally, we propose an extension able to account for the fragile dynamics exhibited by real markets during flash crashes.

我们放宽了 Kyle 价格形成范式模型中代理人的强理性假设，从而使不对称知情交易者的框架与自适应市场假设相协调，在自适应市场假设中，代理人使用归纳而非演绎推理。基于这些想法，我们提出了一个程式化模型，该模型能够简约地解释从过度波动到波动聚类的丰富现象学。在描述过度波动动态的同时，我们为 GARCH 模型提供了微观基础。波动率聚类被证明与交易者行为引起的自激动力学有关，并且不依赖于聚类的基本面创新。最后，我们提出了一种扩展，能够解释真实市场在闪电崩盘期间表现出的脆弱动态。