A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Model calculates optimal trading time for derivatives orders.
A new model for heterogeneous populations optimizes consumption and investment over short horizons.
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied welfare, liquidity premium, and trading volume. We identify these quantities as…
Study on optimal trading in a finite population with market frictions and asymmetric information.
Study Nash equilibrium between broker and informed trader in dealer and lit markets.
Enhanced pairs trading with Black-Litterman model outperforms market indexes.
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the analysis of time-homogeneous equilibria using tools from the theory of one-dimensi…
Equilibrium found for multi-agent trading with transaction costs.
Kyle's equilibrium model stability proven for 1-2 trading times, but not for 3 or more.
Generalizes insider trading model to multiple assets.
Model predicts trading strategies based on latent demand and price impact.
Study how transaction costs impact stock returns and holdings in equilibrium.
Modeling trading behavior with information signals and limit order books, showing market impact and equilibrium properties.
The paper analyzes trade dynamics among G7 countries, revealing unequal exchange and degenerate equilibrium states.
The paper finds optimal levels for traders in mean-reverting markets.
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative) and a non-traded underlying (e.g. temperature). The risk preferences are of expo…
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon τ , the "time to produce", and are liquidity constrained, while financial investors trade over a much shorter horizon δ (<< τ ) and are therefore more duly informed on the exogenous shocks af…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as co…
Study Nash equilibrium between broker and trader in a lit exchange with price impact.
Insider trading is reduced when penalized, affecting expected penalties in a non-monotone way.
Modeling insider trading with transaction costs and fair pricing.
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity.…
Study shows how multiple traders can trade together without excessive price impact.
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 dynamic trading strategies: A strategic portfolio rebalancer who engages in order splitting to reach a cumulative trading target and an uncon…
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mea…
Continuous-time model shows insider trading constraints impact market dynamics.
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the equilibrium price. We compare the two algorithms through experimental analyses, …
Study optimal execution in a transient price impact model with multiple traders.
The study examines when large trades are considered news or liquidity shocks in a market model.
Mathematical model predicts international trade and global economy dynamics.
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function induces decreasing impatience, we establish the existence of an equilibrium through …
Paper proposes a new model to prevent tariff wars by balancing trade balances.
Model explains periodic trading in financial markets through game theory.
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This construction allows us to show the existence of Glosten-Milgrom equilibrium and its as…
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 prove that the equilibrium returns mean-revert around their frictionless counterparts - the deviation has Ornstein-Uhlenbeck dynamics for quadr…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The corresponding equilibrium is characterized as the unique solution of a system of coupled…
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an optimal strategy as solution of a system of partial integro-differential equatio…
Study on Kyle's model with stochastic liquidity impacts asset volatility.
AI simplifies trading strategies, potentially making markets more efficient.
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the equilibrium conditions are determined, with which the optimal insider trading strategy,…
A game-theoretic analysis of DEX competition through dynamic trading fees.
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to two distinct changes in their optimal investment approach: price impact causes a…
New paper finds strategic trade centralization benefits firms, while naive centralization often harms them.
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solutions obtain aroun…
Study high-frequency trading game with price impact, finding unique equilibrium.
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 competitive equilibrium and also for non-price-taking equilibria. The intraday trajectories of TWAP trading targets cause predictable intraday pattern…
We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an a…
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's payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories and trading rates. The un…