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dc.contributor.authorKratz, Peteren_US
dc.contributor.authorSchöneborn, Torstenen_US
dc.date.accessioned2011-09-19en_US
dc.date.accessioned2012-04-05T16:20:30Z-
dc.date.available2012-04-05T16:20:30Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56720-
dc.description.abstractWe consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution strategy uses both venues continuously. The order size in the dark pool can over- or underrepresent the portfolio size depending on adverse selection and the correlation structure of the assets in the portfolio. Introduction a dark pool results in delayed trading at the traditional venue. The appeal of the dark pool is increased by liquidity but reduced by adverse selection. By pushing up prices at the traditional venue and parallel selling in the dark pool, a trader might generate profits; we provide sufficient conditions to rule out such profitable price manipulation strategies.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2011-058en_US
dc.subject.jelC02en_US
dc.subject.jelC61en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keyworddark poolsen_US
dc.subject.keywordoptimal liquidationen_US
dc.subject.keywordadverse selectionen_US
dc.subject.keywordmarket microstructureen_US
dc.subject.keywordilliquid marketsen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwManipulationen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwTheorieen_US
dc.titleOptimal liquidation in dark poolsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn668478233en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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