Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision Reportar como inadecuado




Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Abstract

We consider a multi-player situation in an illiquid market in which one player tries to liquidate a large portfolio in a short time span, while some competitors know of the seller-s intention and try to make a pro¯t by trading in this market over a longer time horizon. We show that the liquidity characteristics, the number of competitors in the market and their trading time horizons determine the optimal strategy for the competitors: they either provide liquidity to the seller, or they prey on her by simultaneous selling. Depending on the expected competitor behavior, it might be sensible for the seller to pre-announce a trading intention \sunshine trading- or to keep it secret \stealthtrading-.



Item Type: MPRA Paper -

Original Title: Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision-

Language: English-

Keywords: Liquidity; liquidity crisis; liquidity provision; optimal liquidation strategies; predatory trading; sunshine trading; stealth trading-

Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest RatesG - Financial Economics > G1 - General Financial Markets > G10 - GeneralG - Financial Economics > G3 - Corporate Finance and Governance > G33 - Bankruptcy ; Liquidation-





Autor: Schoeneborn, Torsten

Fuente: https://mpra.ub.uni-muenchen.de/5548/







Documentos relacionados