Continuous-Time Equilibrium Returns in Markets with Price Impact and Transaction Costs

By Michail Anthropelos, Constantinos Stefanakis

Published 2024-05-23

Everscope rating

1539.6

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Continuous-time equilibrium modeling. Problem types: Equilibrium modeling, Asset pricing.

arXiv:2405.14418 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.