Torsten Schoeneborn

AHL (Man Investments)

Sugar Quay

Lower Thames Street

London, EC3R 6DU

Great Britain

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

10

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Top 11,950

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31

CROSSREF CITATIONS

71

Scholarly Papers (10)

1.
Downloads 1,752 ( 12,390)
Citation 13

Optimal Liquidation in Dark Pools

EFA 2009 Bergen Meetings Paper
Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 18 Apr 2014
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 1,602 (14,003)
Citation 3

Abstract:

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Dark pools, Optimal liquidation, Adverse selection, Market microstructure, Illiquid markets

Optimal Liquidation in Dark Pools

Quantitative Finance, Forthcoming
Number of pages: 33 Posted: 05 Dec 2015
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 150 (248,341)

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Dark pools, Optimal liquidation, Adverse selection, Market microstructure, Illiquid markets

2.

Optimal Basket Liquidation for CARA Investors is Deterministic

Number of pages: 19 Posted: 06 Nov 2009 Last Revised: 24 Feb 2010
Alexander Schied, Torsten Schoeneborn and Michael Tehranchi
University of Waterloo, AHL (Man Investments) and University of Cambridge
Downloads 680 (49,097)
Citation 16

Abstract:

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

3.

Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading

EFA 2008 Athens Meetings Paper
Number of pages: 50 Posted: 27 Aug 2007 Last Revised: 20 Mar 2009
Torsten Schoeneborn and Alexander Schied
AHL (Man Investments) and University of Waterloo
Downloads 644 (52,713)
Citation 18

Abstract:

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Liquidity, liquidity crisis, liquidity provision, optimal liquidation strategies, predatory trading, sunshine trading, stealth trading

4.

Risk Aversion and the Dynamics of Optimal Liquidation Strategies in Illiquid Markets

Number of pages: 17 Posted: 11 Feb 2008
Alexander Schied and Torsten Schoeneborn
University of Waterloo and AHL (Man Investments)
Downloads 507 (71,261)
Citation 14

Abstract:

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

5.

Adaptive Basket Liquidation

Number of pages: 28 Posted: 16 Feb 2009 Last Revised: 04 Sep 2015
Torsten Schoeneborn
AHL (Man Investments)
Downloads 349 (110,169)
Citation 3

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Liquidity, illiquid markets, optimal liquidation strategies, basket liquidation, dynamic trading strategies, separation theorem, algorithmic trading, utility maximization

6.

Optimal Portfolio Liquidation for CARA Investors

Number of pages: 11 Posted: 02 Oct 2007
Alexander Schied and Torsten Schoeneborn
University of Waterloo and AHL (Man Investments)
Downloads 244 (160,251)
Citation 8

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

Optimal Trade Execution and Price Manipulation in Order Books with Time-Varying Liquidity

Number of pages: 40 Posted: 12 Sep 2011 Last Revised: 09 Dec 2015
Antje Fruth, Torsten Schoeneborn and Mikhail Urusov
Technical University Berlin, AHL (Man Investments) and University of Ulm - Department of Mathematics and Economics
Downloads 237 (164,325)
Citation 2

Abstract:

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Market impact model, optimal order execution, limit order book, resilience, time-varying liquidity, price manipulation, transaction-triggered price manipulation

8.
Downloads 213 (182,445)
Citation 11

Portfolio Liquidation in Dark Pools in Continuous Time

Number of pages: 37 Posted: 31 Jan 2012 Last Revised: 03 Dec 2015
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 213 (182,175)
Citation 4

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9.

Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions

Number of pages: 20 Posted: 05 Sep 2015
Torsten Schoeneborn
AHL (Man Investments)
Downloads 63 (435,804)

Abstract:

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, utility maximization, time-inconsistent optimization

10.

Optimal Liquidation and Adverse Selection in Dark Pools

Mathematical Finance, Vol. 28, Issue 1, pp. 177-210, 2018
Number of pages: 34 Posted: 17 Jan 2018
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)
Downloads 1 (800,684)
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Abstract:

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dark pools, optimal liquidation, adverse selection, market microstructure, illiquid markets