Peter Kratz

Humboldt University of Berlin

Unter den Linden 6

Berlin, Berlin 10099

Germany

SCHOLARLY PAPERS

3

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CITATIONS
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11

Scholarly Papers (3)

1.
Downloads 1,511 ( 8,745)
Citation 8

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 1,469 (8,979)
Citation 8

Abstract:

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 42 (353,376)
Citation 8

Abstract:

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 Université d'Évry - Departement de Mathematiques
Downloads 295 (73,083)

Abstract:

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

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 187 (131,741)
Citation 3

Abstract:

Portfolio Liquidation in Dark Pools in Continuous Time

Mathematical Finance, Vol. 25, Issue 3, pp. 496-544, 2015
Number of pages: 49 Posted: 05 Jun 2015
Peter Kratz and Torsten Schöneborn
Humboldt University of Berlin and Deutsche Bank AG
Downloads 0
Citation 3

Abstract:

stochastic control, optimal liquidation, dark pools, singular boundary condition, illiquid markets, market microstructure