Abstract
We study the problem of finding optimal execution strategy in the presence of block trades in the pools of non-displayed liquidity. In the single-stock trade both market impact and risk are reduced and the optimal trading horizon tends to be longer than that without the non-displayed liquidity pools. Optimal trading of baskets is much more complicated due to the possibility of significant risk increase as the result of crosses. We propose a fast and efficient numerical framework for evaluating and reducing probable risks and execution costs.
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