no code implementations • 30 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
no code implementations • 25 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.
no code implementations • 27 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.
no code implementations • 2 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.
no code implementations • 16 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.
no code implementations • 14 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.