Stability for gains from large investors' strategies in M1/J1 topologies


One crucial aspect for market impact models is the definition of gains from block trade: the large investor should be unable to circumvent liquidity cost by fast trading in small blocks or rates. Skorokhod's J1 topology... [ view full abstract ]


  1. Peter Frentrup (Humb)
  2. Todor Bilarev (Humboldt-Universität zu Berlin)
  3. Dirk Becherer (Humboldt-Universität zu Berlin)

Topic Areas

Liquidity , Optimal Control , Price Impact


MO-P-DA » Price Impact and Portfolio Choice (14:30 - Monday, 16th July, Davis)

Presentation Files

The presenter has not uploaded any presentation files.