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...

We introduce a market impact model for stochastic linear transient impact, extending the model of Gatheral (2010) with the possibility of randomly fluctuating liquidity. We discuss regularity conditions for market impact models, i.e. properties of optimal liquidation strategies in these models....