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Portfolio Liquidation In Dark Pools In Continuous Time


  • Peter Kratz
  • Torsten Schöneborn


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Suggested Citation

  • Peter Kratz & Torsten Schöneborn, 2015. "Portfolio Liquidation In Dark Pools In Continuous Time," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 496-544, July.
  • Handle: RePEc:bla:mathfi:v:25:y:2015:i:3:p:496-544

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    Cited by:

    1. Katia Colaneri & Tiziano De Angelis, 2019. "A class of recursive optimal stopping problems with applications to stock trading," Papers 1905.02650,
    2. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056,, revised Jul 2019.
    3. repec:eee:spapps:v:128:y:2018:i:3:p:979-1006 is not listed on IDEAS
    4. Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Papers 1309.0474,, revised Jun 2017.
    5. Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2017. "Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    6. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452,
    7. repec:eee:dyncon:v:94:y:2018:i:c:p:89-116 is not listed on IDEAS
    8. repec:eee:dyncon:v:100:y:2019:i:c:p:131-151 is not listed on IDEAS

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