Trading against disorderly liquidation of a large position under asymmetric information and market impact
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective of...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-06-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201756042 |