Before revision: This paper presents a continuous-time equilibrium model of TWAP tradingand liquidity provision in a market with multiple strategic investors with heterogeneous intraday trading targets. We solve the model in closed-form and show there are infinitely many equilibria.
After revision: This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form and show there are infinitely many equilibria.