Strategic Trading in Illiquid Markets Book

1	Modeling feedback effects with stochastic liquidity	9
1.1	Introduction	9
1.2	The deterministic liquidity model	12
1.3	Is market liquidity indeed stochastic?	13
1.4	The stochastic liquidity model	16
1.5	The effective price process in the stochastic liquidity model	17
1.6	Numerical results	23
1.7	Application : liquidity derivative	27
1.8	Conclusion	41
1.9	Appendix	42
2	Optimal liquidation strategies	47
2.1	Introduction	47
2.2	Related literature	50
2.3	Description of the market and dataset	52
2.4	The basic setup	53
2.5	Modeling the impact function	57
2.6	Numerical results	61
2.7	Conclusion and issues for further research	71
2.8	Appendix : derivation of EG and var (G)	73
3	The navigation of an iceberg : the optimal use of hidden orders	79
3.1	Introduction	79
3.2	Related literature	85
3.3	Description of the market and dataset	88
3.4	The basic setup	91
3.5	Modeling of the drift component	102
3.6	Numerical results	105
3.7	Summary and conclusion	112
3.8	Appendix : conditional density g of ln (S[subscript T]/S[subscript t[subscript n]])	113