Strategic Trading in Illiquid Markets [electronic resource] /by Burkart Mönch.
by Mönch, Burkart [author.]; SpringerLink (Online service).
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BookSeries: Lecture Notes in Economics and Mathematical Systems: 553Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.Description: XIII, 116 p. online resource.ISBN: 9783540263159.Subject(s): Economics | Finance | Banks and banking | Economics/Management Science | Finance /Banking | Quantitative Finance | Financial EconomicsDDC classification: 657.8333 | 658.152 Online resources: Click here to access online | Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| HG4501-6051 (Browse shelf) | Available | ||||
| HG1501-HG3550 (Browse shelf) | Available | ||||
| Long Loan | MAIN LIBRARY | HG1-9999 (Browse shelf) | Available |
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Modeling Feedback Effects with Stochastic Liquidity -- Optimal Liquidation Strategies -- The Navigation of an Iceberg: The Optimal Use of Hidden Orders.
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 stock price, and liquidity. The framework generalizes existing models by introducing a stochastic liquidity factor. The flexibility of the framework is illustrated by an application that deals with the pricing of a liquidity derivative. The second chapter focuses on a new pragmatic approach to determine optimal liquidation strategies if an investor uses market orders to unwind large security positions in an illiquid market. The third chapter devotes special attention to iceberg orders. It presents a parsimonious framework that allows to analyze the rationale for the use of this order type by assessing the costs and benefits of this trading instrument.
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