Endogenous inverse demand functions

Capital growth and survival strategies in a market with endogenous prices

We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent model with endogenous asset prices determined through a short-run equilibrium of supply and demand, we show that a survival strategy can be constructed as follows: an agent should assume that only their actions determine the prices and use a growth optimal (log-optimal) strategy with respect to these prices, disregarding the actual prices. Then any survival strategy turns out to be close to this strategy asymptotically.…

杠杆、内生非平衡增长与资产价格泡沫

Leverage, Endogenous Unbalanced Growth, and Asset Price Bubbles

本研究构建宏观金融模型，揭示杠杆通过资本投资与土地价格的正反馈，在突破阈值后引发经济非平衡增长与资产泡沫，且生产率上尾足够厚时该机制可在高杠杆下持续。

二次G-BSDE用于内生短期利率反馈的债券定价

Quadratic G-BSDEs for bond pricing with endogenous short-rate feedback

本文在G-期望框架下研究带内生短期利率反馈的稳健债券定价，通过二次G-BSDE建立解的存在唯一性及指数收敛，并应用于逆利率设计与长期限反馈规则构造。

Optimal Investment, Demand and Arbitrage under Price Impact

This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For exponential market makers preferences, we establish two effects due to price impact: constrained trading, and non-linear hedging costs. To the former, wealth processes in the impact model are identified with those in a model without impact, but with constrained trading, where the (random) constraint set is gen…

Predictable Forward Performance Processes: The Binomial Case

We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at discrete times. We analyze in detail a binomial model whose parameters are random and updated dynamically as the market evolves. We show that the key step in the construction of the associated predictable forward performance process is to solve a single-period inverse investment problem, namely, to determine, period-by-period and conditionally on the current market information, the end-time utility function from a gi…

当大额交易不是新闻：流动性尾部风险与价格发现

When large trades are not (automatically) news: liquidity tail risk and price discovery

本文通过序贯竞争限价订单簿模型，研究流动性需求尾部厚度如何影响大额交易的信息含量、价格冲击形状及价格发现速度。