Are there any practical quantitative risk management strategies for a large participant in an illiquid market with a few dominant players? By a large partcipant I mean someone who
- has significant share in the market turnover
- holds large inventory
- (therefore) could be a subject for predatory trading
By illiquid market I mean that trading is possible, however price impact is large and stealth liquidation of even a moderate position is not an option.
I'm currently looking for into a stress testing/scenario but may be there are better approaches?