Multi-Asset Liquidation in Dark Pools with Adverse Selection

By Guanxing Fu, Johannes Ruf, Xiaomin Shi, Zuo Quan Xu

Published 2026-08-11

Everscope rating

1794.5

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Matrix-valued BSDEs with singular terminal conditions and stochastic linear-quadratic control. Problem types: Optimization, Algorithmic Execution, Portfolio Optimization, Risk Management.

arXiv:2607.27019 · Paper rankings

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