2 papers
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,…
q-fin.MF2018
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…