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dc.contributor.authorKratz, Peteren
dc.contributor.authorSchöneborn, Torstenen
dc.date.accessioned2011-09-19-
dc.date.accessioned2012-04-05T16:20:30Z-
dc.date.available2012-04-05T16:20:30Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-058en
dc.subject.jelC02en
dc.subject.jelC61en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keyworddark poolsen
dc.subject.keywordoptimal liquidationen
dc.subject.keywordadverse selectionen
dc.subject.keywordmarket microstructureen
dc.subject.keywordilliquid marketsen
dc.subject.stwWertpapierhandelen
dc.subject.stwManipulationen
dc.subject.stwBörsenkursen
dc.subject.stwMarktliquiditäten
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwTheorieen
dc.titleOptimal liquidation in dark pools-
dc.typeWorking Paperen
dc.identifier.ppn668478233en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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