A multi-agent targeted trading equilibrium with transaction costs

DOI10.1137/22M1542982MaRDI QIDQ6496948zbMATH OpenFDO

Authors Jin Hyuk Choi, Jetlir Duraj, Kim Weston

Publication date 6 May 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

transaction costsRadner equilibriumtrading frictionsTWAPtargeted trading

Mathematics Subject Classification ID

Financial markets (91G15) General equilibrium theory (91B50)

Recommendations

• Price impact equilibrium with transaction costs and TWAP trading
• Existence of a Radner equilibrium in a model with transaction costs
• Equilibrium asset pricing with transaction costs
• Stability of Radner equilibria with respect to small frictions
• Equilibrium returns with transaction costs

Cites work

• Asset pricing with general transaction costs: Theory and numerics
• Equilibrium effects of intraday order-splitting benchmarks
• Equilibrium interest rate and liquidity premium with transaction costs
• Equilibrium returns with transaction costs
• Existence of a Radner equilibrium in a model with transaction costs
• Liquidity shocks and equilibrium liquidity premia.
• Price impact equilibrium with transaction costs and TWAP trading
• Stability of Radner equilibria with respect to small frictions
• Strategic Trading and Welfare in a Dynamic Market

This page was built for publication: A multi-agent targeted trading equilibrium with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6496948)