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DC Field | Value | Language |
---|---|---|
dc.citation.endPage | 193 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 161 | - |
dc.citation.title | SIAM JOURNAL ON FINANCIAL MATHEMATICS | - |
dc.citation.volume | 15 | - |
dc.contributor.author | Choi, Jin Hyuk | - |
dc.contributor.author | Duraj, Jetlir | - |
dc.contributor.author | Weston, Kim | - |
dc.date.accessioned | 2024-05-03T10:35:29Z | - |
dc.date.available | 2024-05-03T10:35:29Z | - |
dc.date.created | 2024-04-19 | - |
dc.date.issued | 2024-03 | - |
dc.description.abstract | We prove the existence of a continuous -time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their expected wealth minus a penalty for deviating from their targets. Their wealth is further reduced by transaction costs that are proportional to the number of stock shares traded. The agents' targeted number of shares are publicly known. In equilibrium, each agent optimally chooses to trade for an initial time interval before stopping trade. Our equilibrium construction and analysis involves identifying the order in which the agents stop trade. The transaction cost level impacts the equilibrium stock price drift. We analyze the equilibrium outcomes and provide numerical examples. | - |
dc.identifier.bibliographicCitation | SIAM JOURNAL ON FINANCIAL MATHEMATICS, v.15, no.1, pp.161 - 193 | - |
dc.identifier.doi | 10.1137/22M1542982 | - |
dc.identifier.issn | 1945-497X | - |
dc.identifier.scopusid | 2-s2.0-85190343657 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/82300 | - |
dc.identifier.wosid | 001189697300001 | - |
dc.language | 영어 | - |
dc.publisher | SIAM PUBLICATIONS | - |
dc.title | A Multi-agent Targeted Trading Equilibrium with Transaction Costs | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Business, Finance; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods | - |
dc.relation.journalResearchArea | Business & Economics; Mathematics; Mathematical Methods In Social Sciences | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | transaction costs | - |
dc.subject.keywordAuthor | Radner equilibrium | - |
dc.subject.keywordAuthor | targeted trading | - |
dc.subject.keywordAuthor | TWAP | - |
dc.subject.keywordAuthor | trading frictions | - |
dc.subject.keywordPlus | RETURNS | - |
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