(NY) - Kasper Larsen - Smart TWAP Trading in Continuous-Time Equilibria

Smart TWAP Trading in Continuous-Time Equilibria

Kasper Larsen

Seminar Program

5:45pm Registration
6:00pm Seminar
7:30pm Reception

Abstract

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)

Biography

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).

Disclaimer

This a joint IAQF/Thalesians seminar, and not an instructional program of New York University.