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q-fin.MF2020
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…
q-fin.MF2020★ 3 cited
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…