Yuemeng Sunny Sun

Cornell University - School of Operations Research and Industrial Engineering

288 Rhodes Hall

Cornell University

Ithaca, NY 14853

United States

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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 Mannheim and Cornell University - School of Operations Research and Industrial Engineering
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Citation 1

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