Generalized optimal liquidation problems across multiple trading venues

<p style='text-indent:20px;'>In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework employ it derive analyze some aspects of optimal liquidation problem in security market. We illustrate how trader's strategy alters when multiple venues extra information are brought into detected by trader. This study gives new insights relationship between liquidity, provides multi-scale approach with randomly varying volatility.</p>