The Department of Finance & Risk Engineering welcomes Kimberly Weston from Rutgers University to present "Price Impact Equilibrium with Transaction Costs and TWAP Trading" as part of the Brooklyn Quant Experience (BQE) Lecture Series*. Refreshments will be served.
*The BQE Lecture series is held every Thursday at 6 p.m.
Attendance is free and highly encouraged. When possible, slides will be made available after the talk.
In this talk, I will discuss an equilibrium model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to two distinct changes in their optimal investment approach: price impact causes agents to continuously trade in smaller amounts, while transaction costs cause the agents to cease trading before the end of the trading period. As the agents lose wealth because of transaction costs, the exchange makes a profit. I will also discuss the existence of a strictly positive optimal transaction cost from the exchange's perspective. This work is joint with Eunjung Noh (Rutgers).
Kim Weston is an assistant professor of mathematics at Rutgers University. She completed her Ph.D. in 2016 with Dmitry Kramkov at Carnegie Mellon University and served as an NSF postdoctoral fellow at the University of Texas at Austin and Rutgers in 2016-2018. Kim is interested in stochastic control and stochastic analysis questions that arise from financial economics. Her current interests include studying systems of equations related to financial equilibrium, especially in the presence of frictions.