This paper presents a continuous-time equilibrium model of  liquidity provision in a market with multiple strategic investors with  intraday trading targets. We show analytically that there are infinitely many Nash equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium , and we illustrate that these equilibria are different. The model is easily computed numerically , and we provide a number of numerical illustrations  .
This paper presents a continuous-time equilibrium model of TWAP trading and liquidity provision in a market with multiple strategic investors with heterogeneous intraday trading targets. We demonstrate analytically that there are infinitely many equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium and show that these equilibria are different. The model is computationally tractable , and we provide a number of numerical illustrations . An extension to stochastic VWAP targets is also provided .
A
TWAP trading and
A
heterogeneous
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show
demonstrate
D
Nash
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, and we illustrate
and show
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easily computed numerically
computationally tractable
A
. An extension to stochastic VWAP targets is also provided