92 citations · 291 across the 22 of their papers we have counts for
46 papers
The Cost of Misspecifying Price Impact
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo +2
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper st…
Closed-Loop Nash Competition for Liquidity
Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this…
Liquidity Provision with Adverse Selection and Inventory Costs
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary inf…
An Equilibrium Model for the Cross-Section of Liquidity Premia
Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state…
Asset Pricing with Heterogeneous Beliefs and Illiquidity
Johannes Muhle-Karbe, Marcel Nutz, Xiaowei Tan
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset'…
Asset Pricing with General Transaction Costs: Theory and Numerics
Lukas Gonon, Johannes Muhle-Karbe, Xiaofei Shi
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we pro…