From 6157e9d12a4e25337575091b3825b165bb66b610 Mon Sep 17 00:00:00 2001
From: Chen Yang <yc4646@gmail.com>
Date: Mon, 30 Nov 2020 10:57:49 +0800
Subject: [PATCH] Updated LiqPro arXiv link.

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@@ -80,7 +80,7 @@ Portfolio selection under market frictions; Stochastic control; FinTech; Market
 <h3>Publications</h3>
 <ul style="list-style-type:square">
     <li><b>An Equilibrium Model for the Cross-Section of Liquidity Premia</b> (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a href="https://www.researchgate.net/profile/Xiaofei_Shi2/" target="_blank">Xiaofei Shi</a>).<br>
-        submitted. [<a href="" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a href="" target="_blank">arXiv</a>]<br>
+        submitted. [<a href="" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a href="https://arxiv.org/abs/2011.13625" target="_blank">arXiv</a>]<br>
         <div style="display:none" id="abs_LiqPre">
         <hr>
         <i>We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.</i>