Optimal liquidation in dark pools
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Publication:5245909
DOI10.1080/14697688.2014.917434zbMath1402.91709OpenAlexW3123764896MaRDI QIDQ5245909
Torsten Schöneborn, Peter Kratz
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4998
Related Items (14)
Optimal order execution using hidden orders ⋮ Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions ⋮ Transform analysis for Hawkes processes with applications in dark pool trading ⋮ Optimal order display in limit order markets with liquidity competition ⋮ Probabilistic aspects of finance ⋮ Price manipulation in a market impact model with dark pool ⋮ OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS ⋮ Optimal trade execution under price-sensitive risk preferences ⋮ Multi-dimensional optimal trade execution under stochastic resilience ⋮ Optimal Execution and Block Trade Pricing: A General Framework ⋮ 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 EXECUTION HORIZON
Cites Work
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- No-dynamic-arbitrage and market impact
- Optimal Basket Liquidation for CARA Investors is Deterministic
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Continuous Auctions and Insider Trading
- Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
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