Florian Klöck

University of Mannheim

Department of Mathematics

A 5, 6

Mannheim, 68159

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

775

CITATIONS
Rank 36,332

SSRN RANKINGS

Top 36,332

in Total Papers Citations

14

Scholarly Papers (2)

1.

Price Manipulation in a Market Impact Model with Dark Pool

Number of pages: 28 Posted: 19 Mar 2011 Last Revised: 19 Jul 2017
Florian Klöck, Alexander Schied and Yuemeng Sunny Sun
University of Mannheim, University of Waterloo and Cornell University - School of Operations Research and Industrial Engineering
Downloads 656 (38,649)
Citation 14

Abstract:

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Price manipulation, transaction-triggered price manipulation, positive expected liquidation costs, dark pool, market impact model, optimal order execution, optimal liquidation

2.

Regularity of Market Impact Models with Stochastic Price Impact

Number of pages: 21 Posted: 14 May 2012
Florian Klöck
University of Mannheim
Downloads 119 (233,105)
Citation 2

Abstract:

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market impact model, optimal order execution, transient price impact, stochastic liquidity, price manipulation, transaction-triggered price manipulation, arbitrage