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Is there any literature on trading strategies for illiquid equities markets, such as research papers or articles? I've done some searching but haven't turned anything up.

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closed as off-topic by user16651, LocalVolatility, Quantuple, vonjd, olaker Dec 23 '16 at 17:27

This question appears to be off-topic. The users who voted to close gave this specific reason:

  • "Questions seeking assistance in developing a trading strategy are off-topic as they are unlikely to be useful to other readers." – Community, LocalVolatility, Quantuple, vonjd, olaker
If this question can be reworded to fit the rules in the help center, please edit the question.

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Here's a research paper on that: https://pdfs.semanticscholar.org/f879/c1268cfadcd721dfabc643cf28434b88f556.pdf

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