Asset pricing with general transaction costs: Theory and numerics
Asset pricing with general transaction costs: Theory and numerics
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具有一般交易成本的资产定价：理论和数值
DOI：
10.1111/mafi.12297
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发表时间：
2019
影响因子：
1.6
通讯作者：
Xiaofei Shi
中科院分区：
文献类型：
--
作者：
Lukas Gonon;Johannes Muhle‐Karbe;Xiaofei Shi
我们研究了代理人交易率上具有一般凸成本的风险分担均衡。对于一个具有线性状态动力学和外生波动率的无限水平模型，我们证明了均衡收益率围绕其无摩擦对应物的均值回复-偏差具有二次成本的Ornstein-Uhlenbeck动力学，而如果成本成比例，它遵循双重反射布朗运动。具有任意状态动力学和内生波动率的更一般的模型导致非线性、完全耦合的前向-后向随机微分方程的多维系统。这些不属于已知适定性结果的范围，但可以使用Han，Jentzen和E（2018）基于模拟的深度学习方法进行数值求解。在对价格和交易量的时间序列进行校准时，现实的流动性溢价伴随着波动性的适度增加。不同的成本规格的影响是相当相似的，证明使用二次成本作为其他不太听话的规格代理。
We study risk‐sharing equilibria with general convex costs on the agents' trading rates. For an infinite‐horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean‐revert around their frictionless counterparts—the deviation has Ornstein‐Uhlenbeck dynamics for quadratic costs whereas it follows a doubly‐reflected Brownian motion if costs are proportional. More general models with arbitrary state dynamics and endogenous volatilities lead to multidimensional systems of nonlinear, fully‐coupled forward‐backward SDEs. These fall outside the scope of known well‐posedness results, but can be solved numerically using the simulation‐based deep‐learning approach of Han, Jentzen, and E (2018). In a calibration to time series of prices and trading volume, realistic liquidity premia are accompanied by a moderate increase in volatility. The effects of different cost specifications are rather similar, justifying the use of quadratic costs as a proxy for other less tractable specifications.
影响因子：
1.6
作者：
Choi, Jin Hyuk;Larsen, Kasper;Seppi, Duane J.
通讯作者：
Seppi, Duane J.