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Book Categories |
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 |
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Add Strategic Trading in Illiquid Markets, This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the sk price, and liquidity. The fr, Strategic Trading in Illiquid Markets to the inventory that you are selling on WonderClubX
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Add Strategic Trading in Illiquid Markets, This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the sk price, and liquidity. The fr, Strategic Trading in Illiquid Markets to your collection on WonderClub |