OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS

DOI10.1111/mafi.12126zbMath1403.91314OpenAlexW2413884937MaRDI QIDQ4635037

Peter Kratz, Torsten Schöneborn

Publication date: 13 April 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12126

zbMATH Keywords

adverse selectionmarket microstructureoptimal liquidationilliquid marketsdark pools

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

An algorithmic approach to optimal asset liquidation problems ⋮ An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection ⋮ A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading

Cites Work

• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• Optimal Basket Liquidation for CARA Investors is Deterministic
• Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
• Optimal Portfolio Liquidation with Limit Orders
• TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
• Optimal liquidation in dark pools
• An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
• OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
• Price Manipulation and Quasi-Arbitrage

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