摘要翻译：
对于市场影响模型，价格操纵和相关概念在衍生品定价模型中扮演的角色类似于套利。在这里，我们给出了一个系统的研究，当订单可以在传统的交易所和在暗池中执行时，这种规律性问题。为此，我们重点研究了一类暗池模型，其对交易所的市场影响用Almgren-Chriss模型来描述。所有Almgren-Chriss模型不存在价格操纵的条件包括不存在临时的跨场地影响、存在完全永久的跨场地影响以及对在暗池中执行的订单进行额外的惩罚。当一个特定的Almgren-Chriss模型固定时，我们通过一些例子表明，暗池模型的规律性以微妙的方式取决于所有模型参数的相互作用和清算时间约束。本文也可以看作是对一般市场冲击模型规律性的一个案例研究。
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英文标题：
《Price manipulation in a market impact model with dark pool》
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作者：
Florian Kl\"ock, Alexander Schied, Yuemeng Sun
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus on a class of dark-pool models whose market impact at the exchange is described by an Almgren--Chriss model. Conditions for the absence of price manipulation for all Almgren--Chriss models include the absence of temporary cross-venue impact, the presence of full permanent cross-venue impact, and the additional penalization of orders executed in the dark pool. When a particular Almgren--Chriss model has been fixed, we show by a number of examples that the regularity of the dark-pool model hinges in a subtle way on the interplay of all model parameters and on the liquidation time constraint. The paper can also be seen as a case study for the regularity of market impact models in general.
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PDF链接：
https://arxiv.org/pdf/1205.4008