Economics at your fingertips  

Optimal liquidation in dark pools

Peter Kratz and Torsten Schöneborn

Quantitative Finance, 2014, vol. 14, issue 9, 1519-1539

Abstract: We consider a large trader liquidating a portfolio using a transparent trading venue with price impact and a dark pool with execution uncertainty. The optimal execution strategy uses both venues continuously, with dark pool orders over-/underrepresenting the portfolio size depending on return correlations; trading at the traditional venue is delayed depending on dark liquidity. Pushing up prices at the traditional venue while selling in the dark pool might generate profits. If future returns depend on historical dark pool liquidity, then sending orders to the dark pool can be worthwhile simply to gather information.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2019-07-20
Handle: RePEc:taf:quantf:v:14:y:2014:i:9:p:1519-1539