Peter Kratz

Humboldt University of Berlin

Unter den Linden 6

Berlin, Berlin 10099

Germany

  • Humboldt University of Berlin

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

Optimal Liquidation in Dark Pools

Downloads 1,909 (16,182)
Citation 16

Optimal Liquidation in Dark Pools

EFA 2009 Bergen Meetings Paper
Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 18 Apr 2014
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 1,664 (19,717)
Citation 4

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Dark pools, Optimal liquidation, Adverse selection, Market microstructure, Illiquid markets

Optimal Liquidation in Dark Pools

Quantitative Finance, Forthcoming
Number of pages: 33 Posted: 05 Dec 2015
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 245 (228,724)

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Dark pools, Optimal liquidation, Adverse selection, Market microstructure, Illiquid markets

2.

Hedging Forward Positions: Basis Risk Versus Liquidity Costs

Number of pages: 32 Posted: 06 Jul 2012 Last Revised: 19 Jun 2013
Stefan Ankirchner, Peter Kratz and Thomas Kruse
University of Bonn, Humboldt University of Berlin and Justus Liebig University Giessen
Downloads 419 (129,296)
Citation 1

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illiquidity, basis risk, optimal liquidation, hedging, singular stochastic control, optimal stopping

3.

Portfolio Liquidation in Dark Pools in Continuous Time

Number of pages: 37 Posted: 31 Jan 2012 Last Revised: 03 Dec 2015
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 243 (230,669)
Citation 6

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