Modeling Feedback Effects with Stochastic Liquidity

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 553)


Stock Price Trading Strategy Underlying Asset Short Seller Feedback Strategy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Acharya, V. V. and L. H. Pedersen (2003): Asset pricing with liquidity risk, Stern School of Business, New York University, USA.Google Scholar
  2. Allen, F. and D. Gale (1992): Stock-price manipulation, The Review of Financial Studies 5, 503–29.CrossRefGoogle Scholar
  3. Almgren, R. and N. Chriss (2000): Optimal execution of portfolio transactions, Journal of Risk 3, 5–39.Google Scholar
  4. Bank, P. and D. Baum (2002): Hedging and portfolio optimization in financial markets with a large trader, Humboldt University, Berlin, Germany.Google Scholar
  5. Bertsimas, D. and A. W. Lo (1998): Optimal control of execution, Journal of Financial Markets 1, 1–50.CrossRefGoogle Scholar
  6. Black, F. and M. Scholes (1973): The pricing of options and corporate liabilities, Journal of Political Economy 81, 637–54.CrossRefGoogle Scholar
  7. Borodin, A. N. and P. Salminen (1996): Handbook of Brownian Motion — Facts and Formulae, Birkhäuser Verlag, Basel, Boston, Berlin.Google Scholar
  8. Coughenour, J. and K. Shastri (1999): Symposium on market microstructure: a review of empirical research, The Financial Review 34, 1–28.CrossRefGoogle Scholar
  9. Cox, J. C., J. E. Ingersoll, and S. A. Ross (1985): A theory of the term structure of interest rates, Econometrica 53(2), 385–407.MathSciNetGoogle Scholar
  10. Cuoco, D. and J. Cvitanić (1998): Optimal consumption choices for a large investor, Journal of Economic Dynamics and Control 22, 401–36.MathSciNetCrossRefGoogle Scholar
  11. Cvitanić, J. and J. Ma (1996): Hedging options for a large investor and forward-backward SDE’s, Annals of Applied Probability 6, 370–98.MathSciNetCrossRefGoogle Scholar
  12. Dubil, R. (2002): Optimal liquidation of large security holdings in thin markets, University of Connecticut, Storrs, USA.Google Scholar
  13. Ericsson, J. and O. Renault (2003): Liquidity and credit risk, McGill University, Montreal, Canada.Google Scholar
  14. Frey, R. (1998): Perfect option replication for large traders, Finance and Stochastics 2, 115–42.zbMATHMathSciNetCrossRefGoogle Scholar
  15. Frey, R. (2000): Market illiquidity as a source of model risk in dynamic hedging, in Model Risk, ed. by R. Gibson, RISK Publications, London, 125–36.Google Scholar
  16. Frey, R. and P. Patie (2001): Risk management for derivatives in illiquid markets: a simulation study, RiskLab, ETH-Zentrum, Zürich, Switzerland.Google Scholar
  17. Hisata, Y. and Y. Yamai (2000): Research toward the practical application of liquidity risk evaluation methods, Monetary and Economic Studies, December, 83–128.Google Scholar
  18. Jarrow, R. (1992): Market manipulation, bubbles, corners, and short squeezes, Journal of Financial and Quantitative Analysis 27, 311–36.CrossRefGoogle Scholar
  19. Kampovsky, A. and S. Trautmann (2000): A large trader’s impact on price processes, Johannes-Gutenberg-Universität, Mainz, Germany.Google Scholar
  20. Kyle, A. (1985): Continuous auctions and insider trading, Econometrica 53, 1315–35.zbMATHGoogle Scholar
  21. Liu, H. and J. Yong (2004): Option pricing with an illiquid underlying asset market, Washington University, USA and University of Central Florida, Orlando, USA.Google Scholar
  22. Mönch, B. (2003): Optimal liquidation strategies, Goethe University, Frankfurt am Main, Germany.Google Scholar
  23. Pástor, L. and R. F. Stambaugh (2002): Liquidity risk and expected stock returns, Graduate School of Business, University of Chicago, USA.Google Scholar
  24. Pritsker, M. (2002): Large investors and liquidity: A review of the literature, Federal Reserve Board, Washington, USA.Google Scholar
  25. Ranaldo, A. (2000): Intraday trading activity on financial markets: The Swiss evidence, Ph.D. thesis, Université de Fribourg, Switzerland.Google Scholar
  26. Schönbucher, P. J. and P. Wilmott (2000): The feedback effect of hedging in illiquid markets, SIAM Journal of Applied Mathematics 61(1), 232–72.CrossRefGoogle Scholar
  27. Sircar, K. R. and G. Papanicolaou (1998): General Black-Scholes models accounting for increased market volatility from hedging strategies, Applied Mathematical Finance 5, 45–82.CrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Personalised recommendations