3 citations · 3 across the 4 of their papers we have counts for
4 papers
A unified approach to informed trading via Monge-Kantorovich duality
Reda Chhaibi, Ibrahim Ekren, Eunjung Noh +1
We solve a generalized Kyle model type problem using Monge-Kantorovich duality and backward stochastic partial differential equations. First, we show that the the generalized Kyle…
Equilibrium under TWAP trading with quadratic transaction costs
Eunjung Noh
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where hetero…
Equilibrium Model of Limit Order Books: A Mean-field Game View
Jin Ma, Eunjung Noh
In this paper we study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differenti…
Price impact equilibrium with transaction costs and TWAP trading
Eunjung Noh, Kim Weston
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions…