Optimal liquidation in dark pools
研究大交易者如何在有价格冲击的透明市场和有执行不确定性的暗池中清算投资组合，发现最优策略需同时使用两个市场，且暗池订单规模取决于收益相关性。
We consider a large trader liquidating a portfolio using a transparent trading venue with price impact and a dark pool with execution uncertainty. The optimal execution strategy uses both venues continuously, with dark pool orders over-/underrepresenting the portfolio size depending on return correlations; trading at the traditional venue is delayed depending on dark liquidity. Pushing up prices at the traditional venue while selling in the dark pool might generate profits. If future returns depend on historical dark pool liquidity, then sending orders to the dark pool can be worthwhile simply to gather information.