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SUMMARY:Large Orders in Small Markets: On Optimal Execution with Endogenou
 s Liquidity Supply
DTSTART:20191122T103000
DTEND:20191122T120000
DTSTAMP:20260407T164003Z
UID:4b279583d61186ee4645f20919bc3a4a70c00842ccb7ab494b69b84b
CATEGORIES:Conferences - Seminars
DESCRIPTION:Albert MENKVELD\,  VU University Amsterdam\nWe solve a Stacke
 lberg game where a large uninformed seller executes optimally\, fully cogn
 izant of the response of Cournot-competitive market makers. The game there
 fore endogenizes both demand and supply of liquidity. The closed-form solu
 tion yields several insights. First\, stealth trading is both privately an
 d socially costly because market makers incur additional cost not knowing 
 when execution ends. Second\, the presence of a large seller does not unam
 biguously benefit other participants. Market makers benefit only if there 
 is enough risk-absorption capacity or if the execution period is short. Ot
 her investors benefit only when the seller sells at high enough intensity.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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