{"title":"连续时间均衡中的智能TWAP交易","authors":"J. Choi, Kasper Larsen, Duane J. Seppi","doi":"10.2139/ssrn.3146658","DOIUrl":null,"url":null,"abstract":"This paper presents a continuous-time equilibrium model of liquidity provision in a market with multiple strategic investors with intraday trading targets. We show analytically that there are infinitely many Nash equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium, and we illustrate that these equilibria are different. The model is easily computed numerically, and we provide a number of numerical illustrations.","PeriodicalId":385109,"journal":{"name":"arXiv: Mathematical Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"12","resultStr":"{\"title\":\"Smart TWAP Trading in Continuous-Time Equilibria\",\"authors\":\"J. Choi, Kasper Larsen, Duane J. Seppi\",\"doi\":\"10.2139/ssrn.3146658\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents a continuous-time equilibrium model of liquidity provision in a market with multiple strategic investors with intraday trading targets. We show analytically that there are infinitely many Nash equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium, and we illustrate that these equilibria are different. The model is easily computed numerically, and we provide a number of numerical illustrations.\",\"PeriodicalId\":385109,\"journal\":{\"name\":\"arXiv: Mathematical Finance\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-03-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"12\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv: Mathematical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3146658\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3146658","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper presents a continuous-time equilibrium model of liquidity provision in a market with multiple strategic investors with intraday trading targets. We show analytically that there are infinitely many Nash equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium, and we illustrate that these equilibria are different. The model is easily computed numerically, and we provide a number of numerical illustrations.
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