有交易成本的多代理定向交易均衡

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research 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。

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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

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.