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