Search Results for author: Eunjung Noh

Found 2 papers, 0 papers with code

Equilibrium under TWAP trading with quadratic transaction costs

no code implementations3 Aug 2020 Eunjung Noh

We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium.

Price impact equilibrium with transaction costs and TWAP trading

no code implementations19 Feb 2020 Eunjung Noh, Kim Weston

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 agents to continuously trade in smaller amounts, while transaction costs cause the agents to cease trading before the end of the trading period.

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