Séminaire FDD-FiME // C. Zhou
Chao Zhou (National University of Singapore)
Titre: Optimal Liquidation with Hidden Orders under Self-Exciting Dynamics
Résumé:
Hidden orders are attracting higher usage in modern order-driven markets, providing exposure risk reduction and mitigating adverse selection costs. We develop an optimal liquidation strategy in a continuous-time framework, where a risk-neutral agent aims to maximize her terminal wealth with a combination of both hidden and display limit orders over a fixed Read more [...]
