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Domains : qfin.tr

Optimal incentives in a limit order book: a SPDE control approach

Bastien Baldacci , Philippe Bergault
2023
Preprints, Working Papers, ... hal-03941565v1

Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions

Philippe Bergault , Louis Bertucci , David Bouba , Olivier Guéant
2023
Preprints, Working Papers, ... hal-03941578v1

Modelling microstructure noise with Hawkes processes

Emmanuel Bacry , Sylvain Delattre , Marc Hoffmann , J.-F. Muzy
ICASSP 2011 International Conference on acoustics, speech and signal processing. Session: Signal Processing Methods for Finance Applications, May 2011, Prague, Czech Republic
Conference papers hal-00604490v1

Optimal trading using signals

Hadrien de March , Charles-Albert Lehalle
2019
Preprints, Working Papers, ... hal-02011535v1

A mean-field game of market-making against strategic traders

Bastien Baldacci , Philippe Bergault , Dylan Possamaï
2023
Preprints, Working Papers, ... hal-03941548v1

The nature of price returns during periods of high market activity

Khalil Al Dayri , Emmanuel Bacry , J.-F. Muzy
Econophys-Kolkata V, Jul 2010, Calcuta, India. pp.155, ⟨10.1007/978-88-470-1766-6⟩
Conference papers hal-00604504v1
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Profit-sharing and Ineffiencies in vertically related markets

Rémi Avignon
Trading and Market Microstructure [q-fin.TR]. Institut Polytechnique de Paris, 2022. English. ⟨NNT : 2022IPPAX018⟩
Theses tel-03662719v1

Algorithmic market making in dealer markets with hedging and market impact

Alexander Barzykin , Philippe Bergault , Olivier Guéant
2022
Preprints, Working Papers, ... hal-03857976v1

Size matters for OTC market makers: General results and dimensionality reduction techniques

Philippe Bergault , Olivier Guéant
Mathematical Finance, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩
Journal articles hal-03885108v1

Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control

Alexander Barzykin , Philippe Bergault , Olivier Guéant
2022
Preprints, Working Papers, ... hal-03885154v1
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Crises de liquidité endogènes dans les marchés financiers

Antoine Fosset
Microstructure des marchés [q-fin.TR]. Institut Polytechnique de Paris, 2020. Français. ⟨NNT : 2020IPPAX054⟩
Theses tel-03052419v1
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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Fabien Guilbaud , Huyên Pham
2012
Preprints, Working Papers, ... hal-00697125v1
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Mathematical modeling for market making and related problems of financial liquidity: a song of assets and traders.

Philippe Bergault
Probability [math.PR]. Université Paris 1 - Panthéon-Sorbonne, 2021. English. ⟨NNT : ⟩
Theses tel-03592281v1
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Optimal High Frequency Trading with limit and market orders

Fabien Guilbaud , Huyen Pham
2011
Preprints, Working Papers, ... hal-00603385v1

Dealing with multi-currency inventory risk in FX cash markets

Alexander Barzykin , Philippe Bergault , Olivier Guéant
2022
Preprints, Working Papers, ... hal-03857966v1
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Essays on Telecommunications Economics

Claudia Saavedra Valenzuela
Trading and Market Microstructure [q-fin.TR]. Ecole Polytechnique X, 2010. English. ⟨NNT : ⟩
Theses pastel-00550206v1
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A Stationary Kyle Setup: Microfounding propagator models

Michele Vodret , Iacopo Mastromatteo , Bence Tóth , Michael Benzaquen
Journal of Statistical Mechanics: Theory and Experiment, 2021
Journal articles hal-03016486v1
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Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events

Antoine Fosset , Jean-Philippe Bouchaud , Michael Benzaquen
European Journal of Finance, 2021
Journal articles hal-02998555v1
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Optimal Liquidation with Signals: the General Propagator Case

Eduardo Abi Jaber , Eyal Neuman
2022
Preprints, Working Papers, ... hal-03835948v1

Algorithmic market making in dealer markets with hedging and market impact

Alexander Barzykin , Philippe Bergault , Olivier Guéant
Mathematical Finance, In press
Journal articles hal-03885137v1
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High-frequency trading : statistical analysis, modelling and regulation

Pamela Saliba
Trading and Market Microstructure [q-fin.TR]. Université Paris Saclay (COmUE), 2019. English. ⟨NNT : 2019SACLX044⟩
Theses tel-02614337v1
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The Multivariate price formation process and cross-impact

Mehdi Tomas
Trading and Market Microstructure [q-fin.TR]. Institut Polytechnique de Paris, 2022. English. ⟨NNT : 2022IPPAX021⟩
Theses tel-03662930v1
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Market Microstructure and Modeling of the Trading Flow

Khalil Antoine Dayri
Trading and Market Microstructure [q-fin.TR]. Ecole Polytechnique X, 2012. English. ⟨NNT : ⟩
Theses pastel-00689127v1

Some limit theorems for Hawkes processes and application to financial statistics

Emmanuel Bacry , Sylvain Delattre , Marc Hoffmann , Jean-François Muzy
Stochastic Processes and their Applications, 2013, 123 (7), pp.2475 - 2499. ⟨10.1016/j.spa.2013.04.007⟩
Journal articles hal-01313994v1

Algorithmic market making for options

Bastien Baldacci , Philippe Bergault , Olivier Guéant
Quantitative Finance, 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩
Journal articles hal-03885125v1
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Three essays on microeconometric models of demand and their applications in empirical industrial organisation

Ao Wang
Economics and Finance. Institut Polytechnique de Paris, 2020. English. ⟨NNT : 2020IPPAG003⟩
Theses tel-02891977v1