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Price impact equilibrium with transaction costs and TWAP trading - MaRDI portal

Price impact equilibrium with transaction costs and TWAP trading (Q2120598)

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scientific article
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English
Price impact equilibrium with transaction costs and TWAP trading
scientific article

    Statements

    title
    Price impact equilibrium with transaction costs and TWAP trading (English)
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    author
    Kim Weston
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    Eun-Jung Noh
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    publication date
    1 April 2022
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    zbMATH Keywords
    transaction costs
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    price impact
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    equilibrium
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    targeted trading
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    TWAP
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    incompleteness
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    trading frictions
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    Identifiers

    zbMATH DE Number
    7501340
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    OpenAlex ID
    W3199130346
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    arXiv ID
    2002.08286
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