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Your Trades Move the Market: Rethinking Equilibrium When Every Order Has an Impact
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This story was originally published on HackerNoon at: https://hackernoon.com/your-trades-move-the-market-rethinking-equilibrium-when-every-order-has-an-impact.
This work models a market equilibrium where investor price impact amplifies the effect of transaction costs, providing a closed-form solution.
Check more stories related to finance at: https://hackernoon.com/c/finance. You can also check exclusive content about #nash-equilibrium, #mathematical-finance, #quantitative-finance, #stochastic-control, #market-microstructure, #price-impact, #transaction-cost, #fbsde, and more.
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This work models a market equilibrium where investor price impact amplifies the effect of transaction costs, providing a closed-form solution.
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