The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

We incorporate trading fees into a dynamic, multiagent general-equilibrium model in which traders optimally decide when to trade. For that purpose, we propose an innovative algorithm that synchronizes the traders. Securities prices are not so much affected by the payment of the fees itself, but rath...

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Veröffentlicht in:	The Journal of finance (New York) 2019-04, Vol.74 (2), p.795-844
Hauptverfasser:	BUSS, ADRIAN, DUMAS, BERNARD
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital Consumption Economic models Equilibrium Fees & charges Prices Reversal Securities prices Trading Welfare
Online-Zugang:	Volltext
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