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Portfolio Liquidation In Dark Pools In Continuous Time

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  • Peter Kratz
  • Torsten Schöneborn

Abstract

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  • Peter Kratz & Torsten Schöneborn, 2015. "Portfolio Liquidation In Dark Pools In Continuous Time," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 496-544, July.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:3:p:496-544
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-3
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    Citations

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    Cited by:

    1. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
    2. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
    3. Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2017. "Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    4. Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
    5. Chen, Yuanyuan & Gao, Xuefeng & Li, Duan, 2018. "Optimal order execution using hidden orders," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 89-116.
    6. Zhu, Jianchang & Sun, Xuchu & Li, Tangrong, 2024. "Execution uncertainty of dark pools and portfolio balance," Finance Research Letters, Elsevier, vol. 63(C).
    7. Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Papers 1309.0474, arXiv.org, revised Jun 2017.
    8. Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2019. "Trading under market impact: Crossing networks interacting with dealer markets," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 131-151.
    9. Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
    10. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    11. Katia Colaneri & Tiziano De Angelis, 2019. "A class of recursive optimal stopping problems with applications to stock trading," Papers 1905.02650, arXiv.org, revised Jun 2021.

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