论文标题
价格影响均衡，交易成本和TWAP交易
Price impact equilibrium with transaction costs and TWAP trading
论文作者
论文摘要
我们证明了在具有交易成本和价格影响的模型中存在平衡的情况，在激励两个代理商向目标交易的情况下。两种类型的摩擦（价格影响和交易成本）使代理商在其最佳投资方法中进行了两种不同的变化：价格影响会导致代理商不断以较小的数量进行交易，而交易成本会导致代理商在交易期结束之前停止交易。由于代理商由于交易成本而损失财富，交易所赚取了利润。从交换的角度来看，我们证明了严格积极的最佳交易成本。
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. 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. As the agents lose wealth because of transaction costs, the exchange makes a profit. We prove the existence of a strictly positive optimal transaction cost from the exchange's perspective.
