ENGLISH

Strategic Trading in Illiquid Markets

By Burkart Mönch

Book information

Publisher
Springer
Year
2005
ISBN
3540250395, 9783540250395, 9783540263159
LCC
HG4636 .M66 2005
Open Library ID
OL21575296M
Language
english
Format
DJVU
Filesize
875 kB (895919 bytes)
Series
Lecture Notes in Economics and Mathematical Systems
Edition
1
Pages
130\130
Topic
Business Trading
Library
Kolxo3
DPI
300
Scanned
yes
Time added
2010-07-29 05:14:56

Description

This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the stock price, and liquidity. The framework generalizes existing models by introducing a stochastic liquidity factor. The flexibility of the framework is illustrated by an application that deals with the pricing of a liquidity derivative. The second chapter focuses on a new pragmatic approach to determine optimal liquidation strategies if an investor uses market orders to unwind large security positions in an illiquid market. The third chapter devotes special attention to iceberg orders. It presents a parsimonious framework that allows to analyze the rationale for the use of this order type by assessing the costs and benefits of this trading instrument.

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