63 citations · 65 across the 14 of their papers we have counts for
16 papers
Existence and convergence of discrete-time Kyle models with multiple insiders
Jin Choi, Kasper Larsen
Foster and Viswanathan (1996) extend the discrete-time setting of Kyle (1985) to multiple informed traders who have partial information about the stock's terminal dividend. We reso…
Mandatory Disclosure in Oligopolistic Market Making
Seongjin Kim, Jin Hyuk Choi
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and u…
Radner equilibrium with population growth
Jin Hyuk Choi, Kim Weston
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Pois…
Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
Tae Ung Gang, Jin Hyuk Choi
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arX…
A multi-agent targeted trading equilibrium with transaction costs
Jin Hyuk Choi, Jetlir Duraj, Kim Weston
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares…
Trading constraints in continuous-time Kyle models
Jin Hyuk Choi, Heeyoung Kwon, Kasper Larsen
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 ou…
Endogenous noise trackers in a Radner equilibrium
Jin Hyuk Choi, Kim Weston
We prove the existence of an incomplete Radner equilibrium in a model with exponential investors and an endogenous noise tracker. We analyze a coupled system of ODEs and reduce it…
Learning about latent dynamic trading demand
Xiao Chen, Jin Hyuk Choi, Kasper Larsen +1
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private,…
A reputation game on cyber-security and cyber-risk calibration
Kookyoung Han, Jin Hyuk Choi
To analyze strategic interactions arising in the cyber-security context, we develop a new reputation game model in which an attacker can pretend to be a normal user and a defender…
Equilibrium Effects of Intraday Order-Splitting Benchmarks
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitiv…
Optimal consumption and investment with liquid and illiquid assets
Jin Hyuk Choi
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consi…
Negativity and strong monogamy of multi-party quantum entanglement beyond qubits
Jin Hyuk Choi, Jeong San Kim
We propose the square of convex-roof extended negativity(SCREN) as a powerful candidate to characterize strong monogamy of multi-party quantum entanglement. We first provide a stro…
Information and Trading Targets in a Dynamic Market Equilibrium
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow d…
Taylor approximation of incomplete Radner equilibrium models
Jin Hyuk Choi, Kasper Larsen
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We the…
Asymptotic analysis for Merton's problem with transaction costs in power utility case
Jin Hyuk Choi
We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-…
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Jin Hyuk Choi, Mihai Sirbu, Gordan Zitkovic
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muh…