Invoke with: /researcher-transaction-costs <your question>
Papers
- Transaction Tax in a General Equilibrium Model
- Equilibrium Returns with Transaction Costs
- Asset Pricing with Heterogeneous Beliefs and Illiquidity
- Asset Pricing with General Transaction Costs
- Equilibrium Asset Pricing with Transaction Costs
- Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
- A Multi-agent Targeted Trading Equilibrium with Transaction Costs
- Portfolio Choice and Pricing in Illiquid Markets
- Dynamic Trading with Predictable Returns and Transaction Costs
- Deep Fictitious Play for Finding Markovian Nash Equilibrium in Multi-Agent Games
- Convergence of Deep Fictitious Play for Stochastic Differential Games
- Solving High-Dimensional Partial Differential Equations Using Deep Learning
- Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance
- Asymptotic Expansions as Control Variates for Deep Solvers to Fully-Coupled FBSDEs
Concepts
- quadratic transaction costs
- liquidity premium
- utility loss from transaction costs
- FBSDE equilibrium characterisation
- heterogeneous beliefs
- no-trade region
- holding costs
- stochastic Riccati equation
- deep BSDE method
- deep fictitious play
- deep Galerkin method
- control variate for deep BSDE
Expertise
Domain expert on multi-agent equilibrium with transaction costs in continuous-time financial markets, covering both analytical theory (FBSDE characterisation, asymptotic expansions, liquidity premia, no-trade regions) and numerical methods (deep fictitious play, deep BSDE, deep Galerkin method, asymptotic expansion control variates) for solving the equilibrium when closed-form solutions are unavailable.