On derivatives with illiquid underlying and market manipulation
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DOI: 10.1080/14697688.2011.552517
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References listed on IDEAS
- Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany.
- Obizhaeva, Anna A. & Wang, Jiang, 2013.
"Optimal trading strategy and supply/demand dynamics,"
Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
- Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
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Cited by:
- Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
- A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
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Keywords
Liquidity modelling; Derivatives pricing; Stochastic models; Game theory; Market manipulation;All these keywords.
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