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• W3083609828 abstract "This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday trajectories of TWAP trading targets cause predictable intraday patterns of price pressure, and randomness in VWAP target trajectories induces additional randomness in intraday price-pressure patterns. TWAP and VWAP trading both reduce market liquidity and increase price volatility relative to just terminal trading targets alone. The model is computationally tractable, which lets us provide a number of numerical illustrations." @default.
• W3083609828 created "2020-09-11" @default.
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• W3083609828 date "2018-03-22" @default.
• W3083609828 modified "2023-09-27" @default.
• W3083609828 title "Equilibrium Effects of Intraday Order-Splitting Benchmarks" @default.
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