Jin Hyuk Choi

Ulsan National Institute of Science and Technology (UNIST)

gil 50

Ulsan, 689-798

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

7

DOWNLOADS

772

SSRN CITATIONS
Rank 44,365

SSRN RANKINGS

Top 44,365

in Total Papers Citations

11

CROSSREF CITATIONS

5

Scholarly Papers (7)

1.

Information and Trading Targets in a Dynamic Market Equilibrium

Number of pages: 75 Posted: 08 Feb 2015 Last Revised: 19 Apr 2018
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 344 (110,291)
Citation 12

Abstract:

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Order-splitting, parent and child orders, optimal order execution, portfolio rebalancing, market microstructure

2.

Equilibrium Effects of Intraday Order-Splitting Benchmarks

Number of pages: 57 Posted: 27 Mar 2018 Last Revised: 30 Mar 2020
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 213 (179,771)
Citation 3

Abstract:

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Dynamic trading, TWAP, VWAP, portfolio rebalancing, liquidity, market-maker inventory, equilibria, market microstructure

3.

Asset Pricing Puzzles and Price-Impact

Number of pages: 65 Posted: 16 Oct 2019 Last Revised: 26 Feb 2021
Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 83 (369,326)
Citation 1

Abstract:

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Asset pricing, price-impact, Nash equilibrium, Radner equilibrium, Pareto-efficient equilibrium, risk-free rate puzzle

4.

Optimal Consumption and Investment with Liquid and Illiquid Assets

Mathematical Finance, Forthcoming
Number of pages: 33 Posted: 27 Apr 2018 Last Revised: 30 Jan 2019
Jin Hyuk Choi
Ulsan National Institute of Science and Technology (UNIST)
Downloads 57 (451,373)
Citation 1

Abstract:

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stochastic control, optimal trading/consumption, transaction costs, singular control

5.

Learning about Latent Dynamic Trading Demand

Number of pages: 53 Posted: 28 May 2021 Last Revised: 18 Oct 2021
Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 42 (513,338)

Abstract:

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Order-splitting, optimal order execution, subgame perfect Nash equilibrium, dynamic learning, trading targets, front-running

6.

Optimal Investment in Illiquid Market With Search Frictions and Transaction Costs

Number of pages: 30 Posted: 10 Mar 2021
Jin Hyuk Choi and Tae Ung Gang
Ulsan National Institute of Science and Technology (UNIST) and Ulsan National Institute of Science and Technology (UNIST)
Downloads 19 (648,351)

Abstract:

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stochastic control, optimal investment, illiquidity, transaction costs, search frictions

7.

Optimal Contract for Outsourcing Information Acquisition

Economics Letters, Forthcoming
Number of pages: 12 Posted: 08 Oct 2020
Jin Hyuk Choi and Kookyoung Han
Ulsan National Institute of Science and Technology (UNIST) and Ulsan National Institute of Science and Technology (UNIST)
Downloads 14 (685,116)

Abstract:

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information acquisition, optimal contract, optimal stopping, private observation