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20192021
most citedMarket making and incentives design in the presence of a dark pool: a deep reinforcement learning approach

8 citations · 9 across the 4 of their papers we have counts for

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Showing 2021Show all

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q-fin.RM2021

Liquidity Stress Testing using Optimal Portfolio Liquidation

Mike Weber, Iuliia Manziuk, Bastien Baldacci

We build an optimal portfolio liquidation model for OTC markets, aiming at minimizing the trading costs via the choice of the liquidation time. We work in the Locally Linear Order…