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Financial/Actuarial Mathematics Seminar

Smart TWAP trading in continuous-time equilibria
Wednesday, January 16, 2019
4:00-5:00 PM
1360 East Hall Map
This paper presents a continuous-time equilibrium model of TWAP trading and liquidity provision in a market with multiple strategic investors with heterogeneous intraday trading targets. We solve the model in closed- form and show there are infinitely many equilibria. We compare the competitive equilibrium with different non-price-taking equilibria. In addition, we show intraday TWAP benchmarking reduces market liquidity relative to just terminal trading targets alone. The model is computationally tractable, and we provide a number of numerical illustrations. An extension to stochastic VWAP targets is also provided.

Joint with Jin Hyuk Choi and Duane J. Seppi
Speaker(s): Kasper Larsen (Rutgers)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics