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Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading
16 references·7 citing·39 second hop
Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading (2007)Liquidation in the Face of Adversity: Ste…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…When genius failed: the rise and fall of Long-Term Capital Management (2001)When genius failed: the rise …Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Optimal control of execution costs (1998)Optimal control of execution …Market Microstructure Theory. (1996)Market Microstructure Theory.The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Market microstructure theory (1995)Market microstructure theoryAn Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Stealth trading and volatility (1993)Stealth trading and volatilityPrice, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …A Market Impact Game Under Transient Price Impact (2018)A Market Impact Game Under Tr…A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (2015)A STATE‐CONSTRAINED DIFFERENT…Optimal liquidation in dark pools (2014)Optimal liquidation in dark p…Drift dependence of optimal trade execution strategies under transient price impact (2013)Drift dependence of optimal t…Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012)Robust Strategies for Optimal…Portfolio Liquidation in Dark Pools in Continuous Time (2012)Portfolio Liquidation in Dark…Optimal Liquidation in Dark Pools (2009)Optimal Liquidation in Dark P…Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)A Theory of Intraday Patterns: Volume and Price Variability (1988)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Fire Sales in Finance and Macroeconomics (2011)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Noise Trader Risk in Financial Markets (1990)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1993Stealth trading and volatility948 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 2001When genius failed: the rise and fall of Long-Term Capital Management713 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

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671 cited

Cited by

  • 2012Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework43 cited
  • 2013Drift dependence of optimal trade execution strategies under transient price impact39 cited
  • 2015A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION36 cited
  • 2014Optimal liquidation in dark pools36 cited
  • 2009Optimal Liquidation in Dark Pools34 cited
  • 2012Portfolio Liquidation in Dark Pools in Continuous Time29 cited
  • 2018A Market Impact Game Under Transient Price Impact28 cited