Price manipulation in a market impact model with dark pool

DOI10.1080/1350486X.2017.1406438zbMath1398.91529arXiv1205.4008OpenAlexW3124512823MaRDI QIDQ5373912

Yuemeng Sun, Alexander Schied, Florian Klöck

Publication date: 6 April 2018

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

Full work available at URL: https://arxiv.org/abs/1205.4008

zbMATH Keywords

optimal liquidationmarket impact modeloptimal trade executionprice manipulationtransaction-triggered price manipulationdark poolnonnegative expected liquidation costs

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

Probabilistic aspects of finance ⋮ Spoofing and Price Manipulation in Order-Driven Markets ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ A Market Impact Game Under Transient Price Impact ⋮ An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection

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