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- Choi, Jin Hyuk
- Mathematical Finance Lab.
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| DC Field | Value | Language |
|---|---|---|
| dc.citation.endPage | 352 | - |
| dc.citation.startPage | 315 | - |
| dc.citation.title | MATHEMATICS AND FINANCIAL ECONOMICS | - |
| dc.citation.volume | 15 | - |
| dc.contributor.author | Choi, Jin Hyuk | - |
| dc.contributor.author | Larsen, Kasper | - |
| dc.contributor.author | Seppi, Duane | - |
| dc.date.accessioned | 2023-12-21T16:12:33Z | - |
| dc.date.available | 2023-12-21T16:12:33Z | - |
| dc.date.created | 2020-08-06 | - |
| dc.date.issued | 2021-03 | - |
| dc.description.abstract | This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday trajectories of TWAP trading targets cause predictable intraday patterns of price pressure, and randomness in VWAP target trajectories induces additional randomness in intraday price-pressure patterns. TWAP and VWAP trading both reduce market liquidity and increase price volatility relative to just terminal trading targets alone. The model is computationally tractable, which lets us provide a number of numerical illustrations. | - |
| dc.identifier.bibliographicCitation | MATHEMATICS AND FINANCIAL ECONOMICS, v.15, pp.315 - 352 | - |
| dc.identifier.doi | 10.1007/s11579-020-00278-7 | - |
| dc.identifier.issn | 1862-9679 | - |
| dc.identifier.scopusid | 2-s2.0-85090306896 | - |
| dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/47583 | - |
| dc.identifier.wosid | 000566039300001 | - |
| dc.language | 영어 | - |
| dc.publisher | Springer Verlag | - |
| dc.title | Equilibrium Effects of Intraday Order-Splitting Benchmarks | - |
| dc.type | Article | - |
| dc.description.isOpenAccess | FALSE | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance; Economics; 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 | Dynamic trading | - |
| dc.subject.keywordAuthor | TWAP | - |
| dc.subject.keywordAuthor | VWAP | - |
| dc.subject.keywordAuthor | Portfolio rebalancing | - |
| dc.subject.keywordAuthor | Liquidity | - |
| dc.subject.keywordAuthor | Market-maker inventory | - |
| dc.subject.keywordAuthor | Equilibria | - |
| dc.subject.keywordAuthor | Market microstructure | - |
| dc.subject.keywordPlus | MARKET | - |
| dc.subject.keywordPlus | FREQUENCY | - |
| dc.subject.keywordPlus | EXECUTION | - |
| dc.subject.keywordPlus | INFORMATION | - |
| dc.subject.keywordPlus | LIQUIDITY | - |
| dc.subject.keywordPlus | COST | - |
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