论文标题
在TWAP交易下的平衡，二次交易成本
Equilibrium under TWAP trading with quadratic transaction costs
论文作者
论文摘要
我们研究交易成本如何影响平衡回报率和最佳库存持有量。为此，我们开发了一个连续的时间风险共享模型，在该模型中，异质代理商朝着终端目标持有量进行交易，但要承担二次交易成本。交易成本下的均衡股票持有和交易率的特征在于向前背靠背随机微分方程（FBSDE）的独特解决方案。平衡回报也被描述为耦合但线性FBSDES系统的独特解决方案。
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where heterogenous agents trade toward terminal target holdings subject to a quadratic transaction cost. The equilibrium stock holdings and trading rate under transaction cost are characterized by a unique solution to a forward-backward stochastic differential equation (FBSDE). The equilibrium return is also characterized as the unique solution of a system of coupled but linear FBSDEs.
