From the 1 of 2 linked papers with an AI index.
2 papers
q-fin.MF2026
Multi-Asset Liquidation in Dark Pools with Adverse Selection
Guanxing Fu, Johannes Ruf, Xiaomin Shi +1
The paper studies how to optimally liquidate a multi‑asset portfolio in dark pools when trades face quadratic adverse‑selection costs, using a multidimensional stochastic control f…
q-fin.MF2025
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
Guanxing Fu, Xiaomin Shi, Zuo Quan Xu
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it…