A multi-agent targeted trading equilibrium with transaction costs

DOI10.1137/22M1542982MaRDI QIDQ6496948

Jetlir Duraj, Jin Hyuk Choi, 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

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

Cites Work

• 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
• Stability of Radner equilibria with respect to small frictions
• Liquidity shocks and equilibrium liquidity premia.
• Price impact equilibrium with transaction costs and TWAP trading
• Strategic Trading and Welfare in a Dynamic Market
• Asset pricing with general transaction costs: Theory and numerics

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