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q-fin.MF2024
Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
Michail Anthropelos, Constantinos Stefanakis
We consider an Ito-financial market at which the risky assets' returns are derived endogenously through a market-clearing condition amongst heterogeneous risk-averse investors with…
q-fin.TR2024
Strategic Informed Trading and the Value of Private Information
Michail Anthropelos, Scott Robertson
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence…