Abstract

http://ssrn.com/abstract=1344583
 
 

References (47)



 
 

Citations (9)



 


 



Optimal Liquidation in Dark Pools


Peter Kratz


Humboldt University of Berlin

Torsten Schoeneborn


AHL (Man Investments); University of Oxford - Oxford-Man Institute of Quantitative Finance

July 12, 2013

EFA 2009 Bergen Meetings Paper

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 adverse selection and return correlations. Trading at the traditional venue is delayed depending on dark liquidity and adverse selection. If future returns depend on historical dark pool liquidity, then sending orders to the dark pool can be worthwhile simply to gather information. Pushing up prices at the traditional venue while selling in the dark pool might generate profits.

Number of Pages in PDF File: 59

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

JEL Classification: C02, C61, G11, G12, G20

working papers series





Download This Paper

Date posted: February 17, 2009 ; Last revised: April 18, 2014

Suggested Citation

Kratz, Peter and Schoeneborn, Torsten, Optimal Liquidation in Dark Pools (July 12, 2013). EFA 2009 Bergen Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1344583 or http://dx.doi.org/10.2139/ssrn.1344583

Contact Information

Peter Kratz (Contact Author)
Humboldt University of Berlin ( email )
Unter den Linden 6
Berlin, Berlin 10099
Germany
Torsten Schoeneborn
AHL (Man Investments) ( email )
Sugar Quay
Lower Thames Street
London, EC3R 6DU
Great Britain
University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 4,758
Downloads: 1,316
Download Rank: 7,499
References:  47
Citations:  9

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.344 seconds