Strategic trading in illiquid markets. (Q1774491)

This research monograph, devoted to trading strategies in illiquid markets, is the author's doctoral dissertation. It consists of three chapters, based on three working papers. In the first chapter, a model of interactions between large investors' trading activities, the stock prices, and liquidity is proposed. In the second chapter, a pragmatic approach is presented how to determine the optimal liquidation strategies in case market orders are used to unwind large security positions in illiquid markets. In the last chapter, costs and benefits of using of iceberg orders are analysed.