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Sep 23, 2025
The Price of Friction: How Transaction Costs Change the Strategic Trading Game
This paper extends the Nash equilibrium model to markets with transaction costs, characterizing the solution via a system of FBSDE...
Sep 23, 2025
Your Trades Move the Market: Rethinking Equilibrium When Every Order Has an Impa...
This work models a market equilibrium where investor price impact amplifies the effect of transaction costs, providing a closed-fo...
