Price manipulation in a market impact model with dark pool
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Papers
0910.1166, arXiv.org, revised May 2010.
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Citations
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Cited by:
- Pirrong, Craig, 2017. "The economics of commodity market manipulation: A survey," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 1-17.
- Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
- Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013.
"Smooth solutions to portfolio liquidation problems under price-sensitive market impact,"
Papers
1309.0474, arXiv.org, revised Jun 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2018. "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact," Post-Print hal-01540537, HAL.
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