Optimal Portfolio Liquidation in Dark Pool.

Date of Submission

December 2017

Date of Award

Winter 12-12-2018

Institute Name (Publisher)

Indian Statistical Institute

Document Type

Master's Dissertation

Degree Name

Master of Technology

Subject Name

Computer Science


Sampling and Official Statistics Unit (SOSU-Kolkata)


Mukherjee, Diganta (SOSU-Kolkata; ISI)

Abstract (Summary of the Work)

When a large investor decides to liquidate his portfolio in finite time period, he can put market orders to do so. However large market orders may adversely impact prices. Which in turn may produce lower liquidation return . Dark pools are new kind of market, where not all the information is made public after the trade execution.We have developed a dynamic strategy to place market orders as well as dark pool orders such that total expected liquidation return is maximized. The problem is formulated as Morkov Decision Process in finite horizon and solved using approximate dynamic programming technique.


ProQuest Collection ID: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqm&rft_dat=xri:pqdiss:28843190

Control Number


Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.



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