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Ryle S. Perera

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Aug 2026

Equilibrium Liquidity Premia under Hedging Pressure and Margin Constraints

We develop a continuous-time equilibrium model of futures markets in which heterogeneous hedgers and speculators trade under explicit margin constraints. Agents maximize exponential utility and take prices as given, while the equilibrium futures drift is determined endogenously through market clearing. Margin frictions...

Ryle S. Perera · 0 citations

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