A dynamic make-take fee and compensation scheme is constructed for optimal liquidation across lit and dark pools and is claimed to reduce market impact relative to a competitive major-minor market.
Optimal contract, delegated investment, and information acquisition
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Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools
A dynamic make-take fee and compensation scheme is constructed for optimal liquidation across lit and dark pools and is claimed to reduce market impact relative to a competitive major-minor market.