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Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading · Study

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PreprintLiquidation in the Face of Adversity: Stealth vs. Sunshine Trading

Torsten Schoeneborn2007

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Preprintgreen2007

Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading

Torsten Schoeneborn · Alexander Schied

57 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1987Price, trade size, and information in securities markets 2005Asset Fire Sales (and Purchases) in Equity Markets 2001Optimal execution of portfolio transactions 2001Market Liquidity and Trading Activity 1995Market microstructure theory

Cited by

2012Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework 2013Drift dependence of optimal trade execution strategies under transient price impact 2015A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION 2014Optimal liquidation in dark pools 2009Optimal Liquidation in Dark Pools 2012Portfolio Liquidation in Dark Pools in Continuous Time

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Market Liquidity—Theory and Empirical Evidencechapter · 16 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 16 shared references 2015Dynamic Thin Marketsarticle · 12 shared references 2017Trading strategies of corporate insidersarticle · 12 shared references 2013Liquidating illiquid collateralarticle · 11 shared references 2012Theories of Liquidityarticle · 11 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations57

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1007014

openalex_workW1570212537

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2018

A Market Impact Game Under Transient Price Impact