TY - JOUR T1 - Optimal Trading in the Presence of Non-Displayed Liquidity JF - Trading SP - 30 LP - 37 VL - 2007 IS - 2 AU - Vacslav S. Glukhov Y1 - 2007/09/21 UR - http://guides.pm-research.com/content/2007/2/30.abstract N2 - We study the problem of finding optimal execution strategy in the presence of block trades in the pools of non-displayed liquidity. In the single-stock trade both market impact and risk are reduced and the optimal trading horizon tends to be longer than that without the non-displayed liquidity pools. Optimal trading of baskets is much more complicated due to the possibility of significant risk increase as the result of crosses. We propose a fast and efficient numerical framework for evaluating and reducing probable risks and execution costs. ER -