References

Table of Links

Abstract and 1. Introduction

2. The Model Set-up
3. Price Impact in a Market with No Transaction Costs
4. Price Impact in a Market with Transaction Costs

Appendix A. Proofs of Section 3

Appendix B. Proofs of Section 4

References

References

[AC00] R. Almgren and N. Chriss, Optimal execution of portfolio transactions, Journal of Risk 3 (2000), 5–39.

[AK17] M. Anthropelos and C. Kardaras, Equilibrium in risk-sharing games, Finance and Stochastics (2017), no. 21 (3), 815–865.

[AK24] , Price impact under heterogeneous beliefs and restricted participation, Journal of Economic Theory 215 (2024), 105774.

[Ant17] M. Anthropelos, The effect of market power on risk-sharing, Mathematics and Financial Economics (2017), no. 11, 323–368.

[ATHL05] R. Almgren, C. Thum, E. Hauptmann, and H. Li, Equity market impact, Risk (2005), 57–62.

[Bas00] S. Basak, A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk, Journal of Economic Dynamics and Control 24 (2000), 63–95.

[BD19] A. Buss and B. Dumas, The dynamic properties of financial-market equilibrium with trading fees, The Journal of Finance 74 (2019), no. 2, 795–844.

[BFHMK18] B. Bouchard, M. Fukasawa, M. Herdegen, and J. Muhle-Karbe, Equilibrium returns with transaction costs, Finance and Stochastics (2018), no. 22 (3), 569–601.

[CL24] F. Cordoni and F. Lillo, Instabilities in multi-asset and multi-agent market impact games, Annals of Operations Research 336 (2024), 505–539.

[DGP05] D. Duffie, N. Gˆarleanu, and L.H. Pedersen, Over-the-counter markets, Econometrica 73 (2005), no. 6, 1815–1847.

[ET99] I. Ekeland and R. Temam, Convex analysis and variational problems, SIAM, Philadelphia, 1999.

[FIM18] A. Frazzini, R. Israel, and T. Moskowitz, Transaction costs, Working paper, available at SSRN: https://ssrn.com/abstract=3229719, 2018.

[HHLT21] H. Hau, P. Hoffmann, S. Langfield, and Y. Timmer, Discriminatory pricing of over-the-counter derivatives, Management Science 67 (2021), no. 11, 6660–6677.

[HMKP21] M. Herdegen, J. Muhle-Karbe, and D. Possama¨ı, Equilibrium asset pricing with transaction costs, Finance and Stochastics (2021), no. 25, 1–45.

[HW04] G. Huberman and S. Werner, Price manipulation and quasi-arbitrage, Econometrica 72 (2004), no. 4, 1247–1275.

[KY19] R. S. J. Koijen and M. Yogo, A demand system approach to asset pricing, Journal of Political Economy 127 (2019), no. 4, 1475–1515.

[Kyl85] A.S. Kyle, Continuous auctions and insider trading, Econometrica 53 (1985), no. 6, 1315–1335.

[KZ05] A. Kurdila and M. Zabarankin, Convex functional analysis, Birkhauser Verlag, 2005.

[LS19] X. Luo and A. Schied, Nash equilibrium for risk-averse investors in a market impact game with transient price impact, Market Microstructure and Liquidity 05 (2019), 2050001.

[MR17] S. Malamud and M. Rostek, Decentralized exchange, American Economic Review 107 (2017), no. 11, 3320–62.

[RW15] M. Rostek and M. Weretka, Dynamic thin markets, Review of Financial Studies 28 (2015), 2946–2992.

[RY22] M. Rostek and J. H. Yoon, Equilibrium theory of financial markets: Recent developments, Prepared for The Journal of Economic Literature, 2022.

[SZ19] A. Schied and T. Zhang, A market impact game under transient price impact, Mathematics of Operations Research 44 (2019), no. 1, 102–121.

[Vay98] D. Vayanos, Transaction costs and asset prices: A dynamic equilibrium model, The Review of Financial Studies 11 (1998), no. 1, 1–58.

[Vay99] , Strategic trading and welfare in a dynamic market, Review of Economic Studies 66 (1999), no. 2, 219–54.

[Viv11] X. Vives, Strategic supply function competition with private information, Econometrica 79 (2011), 1919– 1966.

[VV99] D. Vayanos and JL Vila, Equilibrium interest rate and liquidity premium with transaction costs, Economic Theory 13 (1999), 517–539.

[Web23] K. Webster, Handbook of price impact modeling, CRC Press, Boca Raton, FL, 2023. [Wes18] K. Weston, Existence of a radner equilibrium in a model with transaction costs, Mathematics and Financial Economics 12 (2018), 517–539.

Department of Banking and Financial Management, University of Piraeus, Piraeus, Greece Email address: [email protected]

Department of Banking and Financial Management, University of Piraeus, Piraeus, Greece Email address: [email protected]