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....

This paper builds coordination costs, transaction costs, and other aspects of the theory of the firm into a production chain model with an infinite number of ex ante identical producers. The equilibrium determines prices, allocations of productive tasks across firms, firm sizes, and the number...

We show how frictions and continuous transfers jointly affect equilibria in a model of matching in trading networks. Our model incorporates distortionary frictions such as transaction taxes, bargaining costs, and incomplete markets. When contracts are fully substitutable for firms, competitive...