scholarly journals Optimal Liquidation in Dark Pools

2012 ◽  
Author(s):  
Peter Kratz ◽  
Torsten Schoeneborn
Keyword(s):  
Optimal Liquidation ◽  
Dark Pools

OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS

2016 ◽  
Vol 28 (1) ◽  
pp. 177-210 ◽  
Author(s):  
Peter Kratz ◽  
Torsten Schöneborn
Keyword(s):  
Adverse Selection ◽  
Optimal Liquidation ◽  
Dark Pools

scholarly journals Optimal liquidation in dark pools

2014 ◽  
Vol 14 (9) ◽  
pp. 1519-1539 ◽  
Author(s):  
Peter Kratz ◽  
Torsten Schöneborn
Keyword(s):  
Optimal Liquidation ◽  
Dark Pools

Dark Pools

2010 ◽  
Author(s):  
Erik Banks
Keyword(s):  
Dark Pools

Optimal Liquidation Strategy Based on Stochastic and Nonlinear Price Impact and Particle Swarm Optimization

2012 ◽  
Vol 452-453 ◽  
pp. 607-612
Author(s):  
Fei Huang ◽  
Jia He Cao
Keyword(s):  
Mathematical Model ◽  
Nonlinear Function ◽  
Liquidity Risk ◽  
Concave Function ◽  
Institutional Investor ◽  
Price Impact ◽  
Swarm Optimization ◽  
Optimal Liquidation ◽  
Horizon Line ◽  
Discrete Mathematical Model

The institutional investor selling a large block of shares in the market usually faces with liquidity risk declining the stock’s prices. In the paper, supposing that temporary impact is stochastic and nonlinear function of trading velocity, we establishes the discrete mathematical model and uses PSO to obtain the optimal liquidation strategies of risk aversion, which is a strict concave function. When analyzing the sensitivity of the parameters, we find that the curve becomes higher and steeper with the increase of the parameters or the decrease of , .As the parameter is tremendous, the curve is close to a horizon line.

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