PT  - JOURNAL ARTICLE
AU  - Vacslav S. Glukhov
TI  - Optimal Trading in the Presence of Non-Displayed Liquidity
DP  - 2007 Sep 21
TA  - Trading
PG  - 30--37
VI  - 2007
IP  - 2
4099  - http://guides.pm-research.com/content/2007/2/30.short
4100  - http://guides.pm-research.com/content/2007/2/30.full
AB  - 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.