Continuous-Time Equilibrium Returns in Markets with Price Impact and Transaction Costs
By Michail Anthropelos, Constantinos Stefanakis
Rating
1524
Battle Count: 107
Relevance
8/10
Provides insights into equilibrium pricing with price impact and transaction costs, highly relevant for developing trading strategies in realistic market conditions
Implementation Complexity
9/10
Involves complex mathematical modeling and solving systems of FBSDEs
Reproducibility
3/5
Theoretical paper with detailed proofs, but no empirical implementation
About this paper
Methodology: Continuous-time equilibrium modeling. Problem types: Equilibrium modeling, Asset pricing.
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