Optimal incentives in a limit order book: a SPDE control approach
Bastien Baldacci
,
Philippe Bergault
2023
Preprints, Working Papers, ...
hal-03941565v1
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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
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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
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Optimal trading using signals
Hadrien de March
,
Charles-Albert Lehalle
2019
Preprints, Working Papers, ...
hal-02011535v1
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A mean-field game of market-making against strategic traders
Bastien Baldacci
,
Philippe Bergault
,
Dylan Possamaï
2023
Preprints, Working Papers, ...
hal-03941548v1
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The nature of price returns during periods of high market activity
Khalil Al Dayri
,
Emmanuel Bacry
,
J.-F. Muzy
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
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Algorithmic market making in dealer markets with hedging and market impact
Alexander Barzykin
,
Philippe Bergault
,
Olivier Guéant
2022
Preprints, Working Papers, ...
hal-03857976v1
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Size matters for OTC market makers: General results and dimensionality reduction techniques
Philippe Bergault
,
Olivier Guéant
Journal articles
hal-03885108v1
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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
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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
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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
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Some limit theorems for Hawkes processes and application to financial statistics
Emmanuel Bacry
,
Sylvain Delattre
,
Marc Hoffmann
,
Jean-François Muzy
Journal articles
hal-01313994v1
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Algorithmic market making for options
Bastien Baldacci
,
Philippe Bergault
,
Olivier Guéant
Journal articles
hal-03885125v1
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Three essays on microeconometric models of demand and their applications in empirical industrial organisation
Ao Wang
Theses
tel-02891977v1
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