Search Results for author: Jin Hyuk Choi

Found 6 papers, 0 papers with code

A multi-agent targeted trading equilibrium with transaction costs

no code implementations14 Jun 2023 Jin Hyuk Choi, Jetlir Duraj, Kim Weston

Their wealth is further reduced by transaction costs that are proportional to the number of stock shares traded.

Trading constraints in continuous-time Kyle models

no code implementations16 Jun 2022 Jin Hyuk Choi, Heeyoung Kwon, Kasper Larsen

In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint.

Endogenous noise trackers in a Radner equilibrium

no code implementations2 Aug 2021 Jin Hyuk Choi, Kim Weston

We prove the existence of an incomplete Radner equilibrium in a model with exponential investors and an endogenous noise tracker.

Learning about latent dynamic trading demand

no code implementations27 May 2021 Xiao Chen, Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi

We show that trading strategies are combinations of trading towards investor targets, liquidity provision for other investors' demands, and front-running based on learning about latent underlying trading demand imbalances and future price pressure.

Optimal investment in illiquid market with search frictions and transaction costs

no code implementations25 Jan 2021 Jin Hyuk Choi, Tae Ung Gang

We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs.

A reputation game on cyber-security and cyber-risk calibration

no code implementations30 Nov 2020 Jin Hyuk Choi, Kookyoung Han

To analyze strategic interactions arising in the cyber-security context, we develop a new reputation game model in which an attacker can pretend to be a normal user and a defender may have to announce attack detection at a certain point of time without knowing whether he has been attacked.

Optimization and Control

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