In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...

The impact of transaction costs on asset pricing in equilibrium is rarely studied. We study an equilibrium model with proportional transaction costs where two investors trade in a derivative to hedge non-traded endowments. For any positive transaction cost there always exist no trade equilibria....

We prove existence of equilibria with proportional transaction costs on asset trading, using homotopy methods.

We build a model under the framework of discrete optimization to explain how high frequency trading (HFT) can be applied to supply liquidity and reduce execution cost. We derive the analytical properties of our model in finding the optimal solution to minimize the overall execution cost of HFT....

We prove the existence of stationary equilibrium in the primary and secondhand markets for an indivisible consumer durable in a general model with stochastic degradation and endogenous scrappage decisions. Unlike Rust (1985), we introduce transaction costs in the model as a motivation for...

This paper brings order to the vast conceptual and empirical literature on measuring transaction costs. It critically reviews the broad and diverse landscape of the field of transaction costs measurement, ranging from financial economics, Williamsonian transaction cost economics, the transaction...