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Optimal Liquidation in Dark Pools · Study

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PreprintOptimal Liquidation in Dark Pools

Peter Kratz2009

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Preprintgreen2009

Optimal Liquidation in Dark Pools

Peter Kratz · Torsten Schoeneborn

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2001Optimal execution of portfolio transactions 1998Optimal control of execution costs 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE 1988The implementation shortfall 2009Optimal execution strategies in limit order books with general shape functions

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2012Portfolio Liquidation in Dark Pools in Continuous Time

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2014Optimal liquidation in dark poolsarticle · 28 shared references 2012Portfolio Liquidation in Dark Pools in Continuous Timepreprint · 20 shared references 2013PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIMEarticle · 14 shared references 2013Dynamical Models of Market Impact and Algorithms for Order Executionchapter · 10 shared references 2013GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATIONarticle · 9 shared references 2014Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaordersarticle · 9 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1344583

openalex_workW2104226740

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