IAQF-Thalesians Seminar (New York) — Kasper Larsen — Smart TWAP Trading in Continuous-Time Equilibria
Wednesday, June 20, 2018:
NYU Kimmel Center, Room 802, Kimmel Center, 60 Washington Square South, NY 10012, NY
This paper presents a continuous-time equilibrium model of TWAP trading and liquidity provision in a market with multiple strategic investors with intraday trading targets. We demonstrate analytically that there are infinitely many Nash equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium and show that these equilibria are different. The model is computationally tractable, and we provide a number of numerical illustrations
(Joint with Jin Hyuk Choi and Duane J. Seppi)
Kasper Larsen is an Associate Professor in Mathematics at Rutgers University with a Ph.D. in mathematics from the University of Southern Denmark. Most of his research is in Mathematical Finance with various applications to model stability, equilibrium price formation, and optimal liquidation in equilibrium models. His work has been published in journals such as the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, Annals of Applied Probability, and Journal of Economic Theory. Part of his research has been supported by the National Science Foundation (NSF).
The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.
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