Price impact in Nash equilibria
52 Pages Posted: 16 Oct 2019 Last revised: 21 Feb 2023
Date Written: October 6, 2019
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, risk-free rate puzzle
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
Chen, Xiao and Choi, Jin Hyuk and Larsen, Kasper and Seppi, Duane J., Price impact in Nash equilibria (October 6, 2019). Available at SSRN: https://ssrn.com/abstract=3465159 or http://dx.doi.org/10.2139/ssrn.3465159
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.