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Strategic trading in illiquid markets

Author: Burkart Mönch
Publisher: Berlin ; New York : Springer, ©2005.
Dissertation: doctoral Johann Wolfgang Goethe-University 2004
Series: Lecture notes in economics and mathematical systems, 553.
Edition/Format:   Thesis/dissertation : Document : Thesis/dissertation : eBook   Computer File : EnglishView all editions and formats
Publication:Springer e-books
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Mönch, Burkart.
Strategic trading in illiquid markets.
Berlin ; New York : Springer, ©2005
(DLC) 2005922554
(OCoLC)61254394
Material Type: Document, Thesis/dissertation, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Burkart Mönch
ISBN: 3540250395 9783540250395 3540263152 9783540263159 6610459568 9786610459568
OCLC Number: 65183369
Description: 1 online resource (xii, 116 pages) : illustrations.
Contents: Modeling feedback effects with stochastic liquidity --
Optimal liquidation strategies --
The navigation of an iceberg : the optimal use of hidden orders.
Series Title: Lecture notes in economics and mathematical systems, 553.
Responsibility: Burkart Mönch.
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Abstract:

The Area of Research and the Object of Investigation In this thesis we will investigate trading strategies in illiquid markets from a market microstructure perspective. Market microstructure is the  Read more...

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