2 citations · 2 across the 2 of their papers we have counts for
3 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★ 2 cited
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…
q-fin.TR2015
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…