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Liquidation of a large block of stock

Author

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  • Pemy, M.
  • Zhang, Q.
  • Yin, G.

Abstract

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Suggested Citation

  • Pemy, M. & Zhang, Q. & Yin, G., 2007. "Liquidation of a large block of stock," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1295-1305, May.
    • Handle: RePEc:eee:jbfina:v:31:y:2007:i:5:p:1295-1305
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    References listed on IDEAS

    as
    1. G. Yin & Q. Zhang & F. Liu & R. H. Liu & Y. Cheng, 2006. "Stock Liquidation Via Stochastic Approximation Using Nasdaq Daily And Intra‐Day Data," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 217-236, January.
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    Cited by:

    1. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    2. Xianggang Lu & G. Yin & Xianping Guo, 2017. "Infinite Horizon Controlled Diffusions with Randomly Varying and State-Dependent Discount Cost Rates," Journal of Optimization Theory and Applications, Springer, vol. 172(2), pages 535-553, February.
    3. Baojun Bian & Min Dai & Lishang Jiang & Qing Zhang & Yifei Zhong, 2011. "Optimal Decision for Selling an Illiquid Stock," Journal of Optimization Theory and Applications, Springer, vol. 151(2), pages 402-417, November.
    4. Moustapha Pemy & Qing Zhang & G. George Yin, 2008. "Liquidation Of A Large Block Of Stock With Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 629-648, October.
    5. Baojun Bian & Nan Wu & Harry Zheng, 2012. "Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact," Papers 1212.3145, arXiv.org, revised Oct 2014.
    6. Dmitry B. Rokhlin & Georgii Mironenko, 2016. "Regular finite fuel stochastic control problems with exit time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(1), pages 105-127, August.

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