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Price Manipulation in a Market Impact Model with Dark Pool
16 references·1 citing·38 second hopsampled
Price Manipulation in a Market Impact Model with Dark Pool (2011)Price Manipulation in a Market Impact Mod…PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2013)PORTFOLIO LIQUIDATION IN DARK…Market Microstructure in Practice (2013)Market Microstructure in Prac…Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…Optimal trade execution: A mean quadratic variation approach (2012)Optimal trade execution: A me…Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (2011)Order Book Resilience, Price …OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach (2011)Optimal Split of Orders Acros…Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models (2010)Optimal Trade Execution and A…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Risk aversion and the dynamic…Are You Playing in a Toxic Dark Pool? (2008)Are You Playing in a Toxic Da…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Price Manipulation and Quasi-Arbitrage (2004)Price Manipulation and Quasi-…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection (2014)An Explicit Solution of a Non…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Coherent Measures of Risk (1999)Optimal execution strategies in limit order books with general shape functions (2009)Gain, Loss, and Asset Pricing (2000)How Markets Slowly Digest Changes in Supply and Demand (2009)Limit order books (2013)The Price Impact of Order Book Events (2013)Stability analysis of financial contagion due to overlapping portfolios (2014)Active Portfolio Management (2017)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Portfolio Liquidation with Limit Orders (2012)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)Price, trade size, and information in securities markets (1987)Episodic Liquidity Crises: Cooperative and Predatory Trading (2007)Correlated Trading and Returns (2008)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimization Methods in Finance (2006)Market impact and trading profile of hidden orders in stock markets (2009)Market Microstructure Invariance: Empirical Hypotheses (2016)Prospect Theory: An Analysis of Decision under Risk (1979)TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)Market microstructure: A survey (2000)OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)Market Impacts and the Life Cycle of Investors Orders (2015)Optimal order placement in limit order markets (2016)Dynamic portfolio choice with frictions (2016)
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2012Optimal trade execution: A mean quadratic variation approach160 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem140 cited
  • 2010Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models118 cited
  • 2008Are You Playing in a Toxic Dark Pool?67 cited
  • 2013PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME64 cited
  • 2011Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach61 cited

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  • 2013Market Microstructure in Practice54 cited
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    • 2014An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection17 cited