有交易成本的多代理定向交易均衡

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2024-03-21 DOI:10.1137/22m1542982

Jin Hyuk Choi, Jetlir Duraj, Kim Weston

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 15 卷第 1 期，第 161-193 页，2024 年 3 月。摘要。我们证明了具有多个代理人和交易成本的连续时间拉德纳均衡的存在性。在整个交易期间，代理人被激励朝着目标股数进行交易，并寻求最大化其预期财富减去偏离目标的惩罚。交易成本与交易的股票数量成正比，进一步减少了他们的财富。代理的目标股数是公开的。在均衡状态下，每个代理都会在停止交易前的初始时间间隔内进行最优交易。我们的均衡构建和分析包括确定代理停止交易的顺序。交易成本水平会影响均衡股价漂移。我们分析了均衡结果，并提供了数值示例。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Multi-agent Targeted Trading Equilibrium with Transaction Costs

SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page 161-193, March 2024.
Abstract. We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their expected wealth minus a penalty for deviating from their targets. Their wealth is further reduced by transaction costs that are proportional to the number of stock shares traded. The agents’ targeted number of shares are publicly known. In equilibrium, each agent optimally chooses to trade for an initial time interval before stopping trade. Our equilibrium construction and analysis involves identifying the order in which the agents stop trade. The transaction cost level impacts the equilibrium stock price drift. We analyze the equilibrium outcomes and provide numerical examples.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.