Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56720 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2011-058
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We 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.
Schlagwörter: 
dark pools
optimal liquidation
adverse selection
market microstructure
illiquid markets
JEL: 
C02
C61
G11
Dokumentart: 
Working Paper

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