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Your Trades Move the Market: Rethinking Equilibrium When Every Order Has an Impact
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This story was originally published on HackerNoon at: https://hackernoon.com/your-trades-move-the-market-rethinking-equilibrium-when-every-order-has-an-impact.
This work models a market equilibrium where investor price impact amplifies the effect of transaction costs, providing a closed-form solution.
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This work models a market equilibrium where investor price impact amplifies the effect of transaction costs, providing a closed-form solution.