63 citations · 65 across the 14 of their papers we have counts for
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q-fin.MF2021
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…
q-fin.TR2021
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,…