Before revision: In an illiquid market as a result of a lack of counterparties and uncertainty about asset values, trading of assets is not being secured by the actual value. In this research, we develop an algorithmic trading strategy to deal with the discrete optimal liquidation problem of large order trading with different market microstructures in an illiquid market.
After revision: In this research, we develop an algorithmic trading strategy to deal with the discrete optimal liquidation problem of large order trading with different market microstructures in an illiquid market.