Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Philippe Bergault"'
Autor:
Bastien Baldacci, Philippe Bergault
With the fragmentation of electronic markets, exchanges are now competing in order to attract trading activity on their platform. Consequently, they developed several regulatory tools to control liquidity provision / consumption on their liquidity po
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fc24b085dbb6128336cdd9f1f853d2f8
https://hal.science/hal-03941565
https://hal.science/hal-03941565
Publikováno v:
Quantitative Finance
Quantitative Finance, 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩
Quantitative Finance, Taylor & Francis (Routledge), 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩
Quantitative Finance, 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩
Quantitative Finance, Taylor & Francis (Routledge), 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩
International audience; In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dime
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb74de71d99b5bd4aee66055d9908706
https://hal.science/hal-03252585
https://hal.science/hal-03252585
Autor:
Olivier Guéant, Philippe Bergault
Publikováno v:
Mathematical Finance
Mathematical Finance, Wiley, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩
Mathematical Finance, Wiley, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩
International audience; In most over-the-counter (OTC) markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d389039e89f58b3610883f7f59a0e822
https://hal.archives-ouvertes.fr/hal-03252557
https://hal.archives-ouvertes.fr/hal-03252557
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of large orders is probably the one that has attracted the most research wor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03106815af74519c55693e788eb9a7da
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in these models remains a challenge when the number of assets is large. In th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc91500c5898208447ad1ff0b2c35e31