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Jondeau et al., 2008 - Google Patents

Optimal liquidation strategies in illiquid markets

Jondeau et al., 2008

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Document ID
18276301598032682582
Author
Jondeau E
Perilla A
Rockinger M
Publication year
Publication venue
Swiss Finance Institute Research Paper

External Links

Snippet

In this paper, we consider block trading strategies and characterize the times when a block trade is a popular choice. We also study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris …
Continue reading at papers.ssrn.com (PDF) (other versions)

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