Research

  Publications

• A multi-agent targeted trading equilibrium with transaction costs,
  by J. Choi, J. Duraj and K. Weston,
  SIAM Journal on Financial Mathematics 15.1 (2024): 151-193. [link]

• Trading constraints in continuous-time Kyle models,
  by J. Choi, H. Kwon and K. Larsen,
  SIAM Journal on Control and Optimization 61.3 (2023): 1494-1512. [link]
  Heeyoung Kwon was awarded the 2023 SIAG/FME Conference Paper Prize during the 2023 SIAM Conference on Financial Mathematics and Engineering in Philadelphia.

• Price impact in Nash equilibria,
  by X. Chen, J. Choi, K. Larsen and D. Seppi,
  Finance and Stochastics 27 (2023): 305-340. [link]

• Optimal investment in illiquid market with search frictions and transaction costs,
  by J. Choi and T. Gang,
  Applied Mathematics and Optimization 88.3 (2023). [link]

• Delegation of information acquisition, information asymmetry, and outside option,
  by J. Choi and K. Han,
  International Journal of Game Theory (2023). [link]

• Implications of false alarms in dynamic games on cyber-security,
  by K. Han and J. Choi,
  Chaos, Solitons and Fractals 169 (2023). [link]

• Security defense against long-term and stealthy cyberattacks,
  by K. Han, J. Choi, Y. Choi, G. Lee and A. Whinston,
  Decision Support Systems 166 (2023). [link]

• Endogenous noise trackers in a Radner equilibrium,
  by J. Choi and K. Weston,
  SIAM Journal on Financial Mathematics 13 (2022): 1326-1343. [link]

• Learning about latent dynamic trading demand,
  by X. Chen, J. Choi, K. Larsen and D. Seppi,
  Mathematics and Financial Economics 16 (2022): 615-658. [link]

• A reputation game on cyber-security and cyber-risk calibration,
  by J. Choi and K. Han,
  Applied Mathematics and Optimization 85 (2022). [link]

• Equilibrium effects of Intraday Order-Splitting Benchmarks,
  by J. Choi, K. Larsen and D. Seppi,
  Mathematics and Financial Economics 15 (2021): 315-352. [link]

• Optimal Contract for Outsourcing Information Acquisition,
  by J. Choi and K. Han,
  Economics Letters 195 (2020). [link]

• Optimal investment/consumption with liquid and illiquid assets,
  by J. Choi,
  Mathematical Finance 30 (2020): 621-663. [link]

• Information and trading targets in a dynamic market equilibrium,
  by J. Choi, K. Larsen and D. Seppi,
  Journal of Financial Economics 132 (2019): 22-49. [link]

• Taylor approximation of incomplete Radner equilibrium models,
  by J. Choi and K. Larsen,
  Finance and Stochastics 19 (2015): 653-679. [link]

• Asymptotic analysis of Merton's problem with transaction costs,
  by J. Choi,
  Stochastics 86 (2014): 803-816. [link]

• Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs,
  by J. Choi, M. Sirbu and G. Zitkovic,
  SIAM Journal on Control and Optimization 51 (2013): 4414-4449. [link]