Strategic Trading in Illiquid Markets

• Main Author: Mönch, Burkart (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Series: Lecture Notes in Economics and Mathematical Systems, 553
• Subjects: Finance.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.

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 academic term for the branch of financial economics that investigates trading and the organization of...

Table of Contents:

• Modeling Feedback Effects with Stochastic Liquidity
• Optimal Liquidation Strategies
• The Navigation of an Iceberg: The Optimal Use of Hidden Orders.