Search Results for author: Kim Weston

Found 2 papers, 0 papers with code

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.

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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