most citedPrice impact equilibrium with transaction costs and TWAP trading

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math.PR2022

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…