{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,4]],"date-time":"2026-04-04T05:30:49Z","timestamp":1775280649977,"version":"3.50.1"},"reference-count":34,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2015,1,30]],"date-time":"2015-01-30T00:00:00Z","timestamp":1422576000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2015,4]]},"DOI":"10.1007\/s00780-015-0258-y","type":"journal-article","created":{"date-parts":[[2015,1,29]],"date-time":"2015-01-29T07:35:05Z","timestamp":1422516905000},"page":"449-472","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["A model for a large investor trading at market indifference prices. I: Single-period case"],"prefix":"10.1007","volume":"19","author":[{"given":"Peter","family":"Bank","sequence":"first","affiliation":[]},{"given":"Dmitry","family":"Kramkov","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2015,1,30]]},"reference":[{"key":"258_CR1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.21314\/JOR.2001.041","volume":"3","author":"R. Almgren","year":"2001","unstructured":"Almgren, R., Chriss, N.: Optimal execution of portfolio transactions. J. Risk 3, 5\u201339 (2001)","journal-title":"J. Risk"},{"issue":"4","key":"258_CR2","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1561\/0500000003","volume":"1","author":"Y. Amihud","year":"2005","unstructured":"Amihud, Y., Mendelson, H., Pedersen, L.H.: Liquidity and asset prices. Found. Trends Finance 1(4), 269\u2013364 (2005)","journal-title":"Found. Trends Finance"},{"key":"258_CR3","doi-asserted-by":"crossref","first-page":"841","DOI":"10.1111\/j.1468-0262.2008.00861.x","volume":"76","author":"R.M. Anderson","year":"2008","unstructured":"Anderson, R.M., Raimondo, R.C.: Equilibrium in continuous-time financial markets: endogenously dynamically complete markets. Econometrica 76, 841\u2013907 (2008)","journal-title":"Econometrica"},{"key":"258_CR4","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1093\/rfs\/5.3.387","volume":"5","author":"K. Back","year":"1992","unstructured":"Back, K.: Insider trading in continuous time. Rev. Financ. Stud. 5, 387\u2013409 (1992)","journal-title":"Rev. Financ. Stud."},{"key":"258_CR5","doi-asserted-by":"crossref","first-page":"14","DOI":"10.1134\/S0081543814080033","volume":"287","author":"P. Bank","year":"2014","unstructured":"Bank, P., Kramkov, D.: The stochastic field of aggregate utilities and its saddle conjugate. Proc. Steklov Inst. Math. 287, 14\u201360 (2014)","journal-title":"Proc. Steklov Inst. Math."},{"key":"258_CR6","doi-asserted-by":"crossref","unstructured":"Bank, P., Kramkov, D.: A model for a large investor trading at market indifference prices. II: continuous-time case. Ann. Appl. Probab. (2014, to appear). Available at http:\/\/arxiv.org\/abs\/1110.3229v3","DOI":"10.1214\/14-AAP1059"},{"key":"258_CR7","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1093\/rfs\/10.1.69","volume":"10","author":"D. Bernhardt","year":"1997","unstructured":"Bernhardt, D., Hughson, E.: Splitting orders. Rev. Financ. Stud. 10, 69\u2013101 (1997)","journal-title":"Rev. Financ. Stud."},{"key":"258_CR8","doi-asserted-by":"crossref","first-page":"799","DOI":"10.1111\/1468-0262.00138","volume":"68","author":"B. Biais","year":"2000","unstructured":"Biais, B., Martimort, D., Rochet, J.-C.: Competing mechanisms in a common value environment. Econometrica 68, 799\u2013837 (2000)","journal-title":"Econometrica"},{"key":"258_CR9","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1016\/j.finmar.2004.11.001","volume":"8","author":"B. Biais","year":"2005","unstructured":"Biais, B., Glosten, L., Spatt, C.: Market microstructure: a survey of microfoundations, empirical results, and policy implication. J. Financ. Mark. 8, 217\u2013264 (2005)","journal-title":"J. Financ. Mark."},{"key":"258_CR10","doi-asserted-by":"crossref","first-page":"311","DOI":"10.1007\/s00780-004-0123-x","volume":"8","author":"U. \u00c7etin","year":"2004","unstructured":"\u00c7etin, U., Jarrow, R.A., Protter, P.: Liquidity risk and arbitrage pricing theory. Finance Stoch. 8, 311\u2013341 (2004)","journal-title":"Finance Stoch."},{"key":"258_CR11","doi-asserted-by":"crossref","first-page":"370","DOI":"10.1214\/aoap\/1034968136","volume":"6","author":"J. Cvitani\u0107","year":"1996","unstructured":"Cvitani\u0107, J., Ma, J.: Hedging options for a large investor and forward-backward SDE\u2019s. Ann. Appl. Probab. 6, 370\u2013398 (1996)","journal-title":"Ann. Appl. Probab."},{"key":"258_CR12","doi-asserted-by":"crossref","first-page":"263","DOI":"10.1016\/0304-4068(95)00735-0","volume":"25","author":"R.A. Dana","year":"1996","unstructured":"Dana, R.A., Le Van, C.: Asset equilibria in L p spaces with complete markets: a duality approach. J.\u00a0Math. Econ. 25, 263\u2013280 (1996)","journal-title":"J.\u00a0Math. Econ."},{"key":"258_CR13","doi-asserted-by":"crossref","first-page":"463","DOI":"10.1007\/BF01450498","volume":"300","author":"F. Delbaen","year":"1994","unstructured":"Delbaen, F., Schachermayer, W.: A general version of the fundamental theorem of asset pricing. Math. Ann. 300, 463\u2013520 (1994)","journal-title":"Math. Ann."},{"key":"258_CR14","doi-asserted-by":"crossref","first-page":"1815","DOI":"10.1111\/j.1468-0262.2005.00639.x","volume":"73","author":"D. Duffie","year":"2005","unstructured":"Duffie, D., G\u00e2rleanu, N., Pedersen, L.H.: Over-the-counter markets. Econometrica 73, 1815\u20131847 (2005)","journal-title":"Econometrica"},{"key":"258_CR15","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1111\/1467-9965.00036","volume":"7","author":"R. Frey","year":"1997","unstructured":"Frey, R., Stremme, A.: Market volatility and feedback effects from dynamic hedging. Math. Finance 7, 351\u2013374 (1997)","journal-title":"Math. Finance"},{"key":"258_CR16","doi-asserted-by":"crossref","first-page":"4259","DOI":"10.1093\/rfs\/hhp005","volume":"22","author":"N. G\u00e2rleanu","year":"2009","unstructured":"G\u00e2rleanu, N., Pedersen, L.H., Poteshman, A.M.: Demand-based option pricing. Rev. Financ. Stud. 22, 4259\u20134299 (2009)","journal-title":"Rev. Financ. Stud."},{"key":"258_CR17","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/0304-405X(85)90044-3","volume":"14","author":"L.R. Glosten","year":"1985","unstructured":"Glosten, L.R., Milgrom, P.R.: Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J. Financ. Econ. 14, 71\u2013100 (1985)","journal-title":"J. Financ. Econ."},{"key":"258_CR18","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1007\/978-3-642-18412-3_13","volume-title":"Advanced Mathematical Methods for Finance","author":"S. G\u00f6kay","year":"2011","unstructured":"G\u00f6kay, S., Roch, A.F., Mete Soner, H.: Liquidity models in continuous and discrete time. In: Di Nunno, G., \u00d8ksendal, B. (eds.) Advanced Mathematical Methods for Finance, pp.\u00a0333\u2013365. Springer, Berlin (2011)"},{"key":"258_CR19","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1111\/j.1540-6261.1988.tb04594.x","volume":"43","author":"S.J. Grossman","year":"1988","unstructured":"Grossman, S.J., Miller, M.H.: Liquidity and market structure. J. Finance 43, 617\u2013633 (1988)","journal-title":"J. Finance"},{"key":"258_CR20","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1016\/0304-405X(81)90020-9","volume":"9","author":"T.S.Y. Ho","year":"1981","unstructured":"Ho, T.S.Y., Stoll, H.R.: Optimal dealer pricing under transactions and return uncertainty. J. Financ. Econ. 9, 47\u201373 (1981)","journal-title":"J. Financ. Econ."},{"key":"258_CR21","doi-asserted-by":"crossref","first-page":"1249","DOI":"10.3982\/ECTA8783","volume":"80","author":"J. Hugonnier","year":"2012","unstructured":"Hugonnier, J., Malamud, S., Trubowitz, E.: Endogenous completeness of diffusion driven equilibrium markets. Econometrica 80, 1249\u20131270 (2012)","journal-title":"Econometrica"},{"key":"258_CR22","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/s00780-014-0250-y","volume":"19","author":"D. Kramkov","year":"2015","unstructured":"Kramkov, D.: Existence of endogenously complete equilibrium driven by a diffusion. Finance Stoch. 19, 1\u201322 (2015)","journal-title":"Finance Stoch."},{"key":"258_CR23","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"A.S. Kyle","year":"1985","unstructured":"Kyle, A.S.: Continuous auctions and insider trading. Econometrica 53, 1315\u20131335 (1985)","journal-title":"Econometrica"},{"key":"258_CR24","doi-asserted-by":"crossref","first-page":"407","DOI":"10.1093\/rfs\/14.2.407","volume":"14","author":"F.A. Longstaff","year":"2001","unstructured":"Longstaff, F.A.: Optimal portfolio choice and the valuation of illiquid securities. Rev. Financ. Stud. 14, 407\u2013431 (2001)","journal-title":"Rev. Financ. Stud."},{"key":"258_CR25","volume-title":"Theory of Incomplete Markets","author":"M. Magill","year":"1996","unstructured":"Magill, M., Quinzii, M.: Theory of Incomplete Markets, vol.\u00a01. MIT Press, Cambridge (1996)"},{"key":"258_CR26","volume-title":"Microeconomic Theory","author":"A. Mas-Colell","year":"1995","unstructured":"Mas-Colell, A., Whinston, M.D., Green, J.R.: Microeconomic Theory. Oxford University Press, London (1995)"},{"key":"258_CR27","volume-title":"Market Microstructure Theory","author":"M. O\u2019Hara","year":"1995","unstructured":"O\u2019Hara, M.: Market Microstructure Theory. Blackwell Sci., Oxford (1995)"},{"key":"258_CR28","doi-asserted-by":"crossref","first-page":"45","DOI":"10.1080\/135048698334727","volume":"5","author":"G. Papanicolaou","year":"1998","unstructured":"Papanicolaou, G., Sircar, R.: General Black\u2013Scholes models accounting for increased market volatility from hedging strategies. Appl. Math. Finance 5, 45\u201382 (1998)","journal-title":"Appl. Math. Finance"},{"key":"258_CR29","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1111\/1467-9965.00045","volume":"8","author":"E. Platen","year":"1998","unstructured":"Platen, E., Schweizer, M.: On feedback effects from hedging derivatives. Math. Finance 8, 67\u201384 (1998)","journal-title":"Math. Finance"},{"key":"258_CR30","doi-asserted-by":"crossref","first-page":"398","DOI":"10.1016\/j.jmateco.2013.07.001","volume":"49","author":"F. Riedel","year":"2013","unstructured":"Riedel, F., Herzberg, F.: Existence of financial equilibria in continuous time with potentially complete markets. J. Math. Econ. 49, 398\u2013404 (2013)","journal-title":"J. Math. Econ."},{"key":"258_CR31","series-title":"Princeton Mathematical Series","doi-asserted-by":"crossref","DOI":"10.1515\/9781400873173","volume-title":"Convex Analysis","author":"R.T. Rockafellar","year":"1970","unstructured":"Rockafellar, R.T.: Convex Analysis. Princeton Mathematical Series, vol.\u00a028. Princeton University Press, Princeton (1970)"},{"key":"258_CR32","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1007\/s00780-008-0082-8","volume":"13","author":"A. Schied","year":"2009","unstructured":"Schied, A., Sch\u00f6neborn, T.: Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Finance Stoch. 13, 181\u2013204 (2009)","journal-title":"Finance Stoch."},{"key":"258_CR33","doi-asserted-by":"crossref","first-page":"1133","DOI":"10.1111\/j.1540-6261.1978.tb02053.x","volume":"33","author":"H.R. Stoll","year":"1978","unstructured":"Stoll, H.R.: The supply of dealer services in securities markets. J. Finance 33, 1133\u20131151 (1978)","journal-title":"J. Finance"},{"key":"258_CR34","doi-asserted-by":"crossref","first-page":"2281","DOI":"10.1016\/j.jet.2011.10.002","volume":"146","author":"M. Weretka","year":"2011","unstructured":"Weretka, M.: Endogenous market power. J. Econ. Theory 146, 2281\u20132306 (2011)","journal-title":"J. Econ. Theory"}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-015-0258-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-015-0258-y\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-015-0258-y","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,4,27]],"date-time":"2022-04-27T22:33:32Z","timestamp":1651098812000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-015-0258-y"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,1,30]]},"references-count":34,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2015,4]]}},"alternative-id":["258"],"URL":"https:\/\/doi.org\/10.1007\/s00780-015-0258-y","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,1,30]]}}}