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- Choi, Jin Hyuk
- Mathematical Finance Lab.
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Price impact in Nash equilibria
- Author(s)
- Chen, Xiao, Choi, Jin Hyuk, Larsen, Kasper, Seppi, Duane J.
- Issued Date
- 2023-04
- Citation
- FINANCE AND STOCHASTICS, v.27, no.2, pp.305 - 340
- Abstract
- We prove global existence of a continuous-time Nash equilibrium with endogenous persistent and exogenous temporary price impact. Relative to the analogous Radner and Pareto-efficient equilibria, the Nash equilibrium has a lower interest rate but has similar Sharpe ratios and stock-return volatility.
- Publisher
- Springer Verlag
- ISSN
- 0949-2984
- Keyword (Author)
- Asset pricing, Price impact, Nash equilibrium, Radner equilibrium, Pareto-efficient equilibrium
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