Price impact in Nash equilibria

Xiao Chen (), Jin Hyuk Choi (), Kasper Larsen () and Duane J. Seppi ()
Additional contact information
Xiao Chen: Rutgers University
Jin Hyuk Choi: Ulsan National Institute of Science and Technology (UNIST)
Kasper Larsen: Rutgers University
Duane J. Seppi: Carnegie Mellon University

Finance and Stochastics, 2023, vol. 27, issue 2, No 2, 305-340

Abstract: Abstract We prove global existence of a continuous-time Nash equilibrium with endogenous persistent and exogenous temporary price impact. Relative to the analogous Radner and Pareto-efficient equilibria, the Nash equilibrium has a lower interest rate but has similar Sharpe ratios and stock-return volatility.

Keywords: Asset pricing; Price impact; Nash equilibrium; Radner equilibrium; Pareto-efficient equilibrium; 91G80; 35K59; 60G44 (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00780-023-00499-w

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