Optimal liquidation in dark pools
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Recommendations
- Optimal liquidation and adverse selection in dark pools
- Portfolio liquidation in dark pools in continuous time
- Optimal liquidation under stochastic liquidity
- Optimal liquidation problem in illiquid markets
- Optimal Liquidity Trading*
- Optimal security liquidation algorithms
- Optimal trade execution in illiquid markets
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- Optimal execution strategy of liquidation
- Optimal liquidation under stochastic price impact
Cites work
- Continuous Auctions and Insider Trading
- No-dynamic-arbitrage and market impact
- Optimal basket liquidation for CARA investors is deterministic
- Optimal execution strategies in limit order books with general shape functions
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Order book resilience, price manipulation, and the positive portfolio problem
- Price Manipulation and Quasi-Arbitrage
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- The cost of illiquidity and its effects on hedging
Cited in
(18)- Optimal order execution using hidden orders
- Optimal order display in limit order markets with liquidity competition
- Multi-dimensional optimal trade execution under stochastic resilience
- Optimal security liquidation algorithms
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- Multivariate transient price impact and matrix-valued positive definite functions
- Probabilistic aspects of finance
- Transform analysis for Hawkes processes with applications in dark pool trading
- Optimal liquidation and adverse selection in dark pools
- 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
- Price manipulation in a market impact model with dark pool
- Optimal trade execution under price-sensitive risk preferences
- Kicking-the-bucket: fast privacy-preserving trading using buckets
- Optimal initial coin offering under speculative token trading
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