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- Choi, Jin Hyuk
- Mathematical Finance Lab.
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| DC Field | Value | Language |
|---|---|---|
| dc.citation.endPage | 1512 | - |
| dc.citation.number | 3 | - |
| dc.citation.startPage | 1494 | - |
| dc.citation.title | SIAM JOURNAL ON CONTROL AND OPTIMIZATION | - |
| dc.citation.volume | 61 | - |
| dc.contributor.author | Choi, Jin Hyuk | - |
| dc.contributor.author | Kwon, Heeyoung | - |
| dc.contributor.author | Larsen, Kasper | - |
| dc.date.accessioned | 2023-12-21T12:37:58Z | - |
| dc.date.available | 2023-12-21T12:37:58Z | - |
| dc.date.created | 2023-02-08 | - |
| dc.date.issued | 2023-06 | - |
| dc.description.abstract | In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces an output consistent with several empirical stylized facts such as autocorrelated aggregate holdings, decreasing price impacts over the trading day, and U shaped optimal trading patterns. |
- |
| dc.identifier.bibliographicCitation | SIAM JOURNAL ON CONTROL AND OPTIMIZATION, v.61, no.3, pp.1494 - 1512 | - |
| dc.identifier.doi | 10.1137/21M1446617 | - |
| dc.identifier.issn | 0363-0129 | - |
| dc.identifier.scopusid | 2-s2.0-85163562933 | - |
| dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/62028 | - |
| dc.identifier.wosid | 001031998600017 | - |
| dc.language | 영어 | - |
| dc.publisher | Society for Industrial and Applied Mathematics | - |
| dc.title | TRADING CONSTRAINTS IN CONTINUOUS-TIME KYLE MODELS | - |
| dc.type | Article | - |
| dc.description.isOpenAccess | FALSE | - |
| dc.relation.journalWebOfScienceCategory | Automation & Control Systems;Mathematics, Applied | - |
| dc.relation.journalResearchArea | Automation & Control Systems;Mathematics | - |
| dc.type.docType | Article | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.subject.keywordAuthor | trading target | - |
| dc.subject.keywordAuthor | order-splitting | - |
| dc.subject.keywordAuthor | optimal order execution | - |
| dc.subject.keywordAuthor | market microstructure | - |
| dc.subject.keywordPlus | ASYMMETRIC INFORMATION | - |
| dc.subject.keywordPlus | CONTINUOUS AUCTIONS | - |
| dc.subject.keywordPlus | EQUILIBRIUM | - |
| dc.subject.keywordPlus | STRATEGIES | - |
| dc.subject.keywordPlus | LIQUIDITY | - |
| dc.subject.keywordPlus | MARKETS | - |
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