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Price Manipulation in a Market Impact Model with Dark Pool · Study

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PreprintPrice Manipulation in a Market Impact Model with Dark Pool

Florian Klöck2011

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Preprintgreen2011

Price Manipulation in a Market Impact Model with Dark Pool

Florian Klöck · Alexander Schied · Yuemeng Sun

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

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

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References

2001Optimal execution of portfolio transactions 1998Optimal control of execution costs 2003Optimal execution with nonlinear impact functions and trading-enhanced risk 2010No-dynamic-arbitrage and market impact 2005Direct Estimation of Equity Market Impact 2004Price Manipulation and Quasi-Arbitrage 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

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2014Optimal liquidation in dark poolsarticle · 12 shared references 2013Dynamical Models of Market Impact and Algorithms for Order Executionchapter · 10 shared references 2015Optimal Execution with Multiplicative Price Impactarticle · 10 shared references 2013GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATIONarticle · 9 shared references 2009Optimal Liquidation in Dark Poolspreprint · 9 shared references 2018Deep learning for limit order booksarticle · 8 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1785409

openalex_workW2111152528

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