Section: New Results

Liquidity risk

Participants : Aurélien Alfonsi, A. Schied.

A. Alfonsi and A. Schied (Mannheim University) are working on price impact models that describe how the price is modified by large trades. The paper together with J. Acevedo on a time-dependent price impact is now accepted for publication. With A. Schied and F. Klöck [45] , we have studied the cross price impact between different assets and identified conditions on the resilience of this impact that avoid manipulations strategies. With P. Blanc, we are working on the optimal execution problem when there are many large traders that modify the price.