Gökhan Cebiro˜glu; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our … in a dark pool. The unique optimal execution strategy uses both venues continuously. The order size in the dark pool can … the portfolio. Introduction a dark pool results in delayed trading at the traditional venue. The appeal of the dark pool …