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Price manipulation in a market impact model with dark pool
Price manipulation transaction-triggered price manipulation positive expected liquidation costs dark pool market impact model
2012/6/5
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into suc...
Optimal Execution Problem with Market Impact
Optimal execution market impact liquidity problems HJB viscosity solutions
2010/11/1
We study the optimal execution problem in the market model in consideration of market impact. First we study the discrete-time model and describe the value function with respect to the trader’s optimi...