%0 Journal Article %A Vacslav S. Glukhov %T Optimal Trading in the Presence of Non-Displayed Liquidity %D 2007 %J Trading %P 30-37 %V 2007 %N 2 %X 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. %U https://guides.pm-research.com/content/iijtrading/2007/2/30.full.pdf