Medium frequency trading strategies include all trading activities, that do not require market microstructure analysis on one side and signi cantly depend on market impact on the other side. The most important di erence from high frequency trading is the ability to analyze big amount of data...

In this presentation we consider the management of big portfolios that risk trading desks of major financial institutions usually execute on daily basis. We take into account overnight risk for multiple days liquidation algorithm. We also discuss market impact models and the difference between...