2 papers
q-fin.TR2026
Can market volumes reveal traders' rationality and a new risk premium?
Francesca Mariani, Maria Cristina Recchioni, Tai-Ho Wang +1
An empirical analysis, suggested by optimal Merton dynamics, reveals some unexpected features of asset volumes. These features are connected to traders' belief and risk aversion. T…
q-fin.TR2025
Leveraging IS and TC: Optimal order execution subject to reference strategies
Xue Cheng, Peng Guo, Tai-ho Wang
The paper addresses the problem of meta order execution from a broker-dealer's point of view in Almgren-Chriss model under execution risk. A broker-dealer agency is authorized to e…