Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Thibaut, Mastrolia"'
Publikováno v:
Operations Research. 71:727-749
A Stackelberg actor–critic approach to optimal market making and incentives design with dark pools. We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitabl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7cff3e3b911790e2ebf9f2ae3a0a94b3
https://doi.org/10.1287/opre.2022.2406
https://doi.org/10.1287/opre.2022.2406
Publikováno v:
Operations Research. 69:1734-1745
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd0a2f86821f7c4745af6c336fcc58bd
https://doi.org/10.1287/opre.2021.2113
https://doi.org/10.1287/opre.2021.2113
Publikováno v:
Mathematical Finance
Mathematical Finance, Wiley, 2021, 31 (1), pp.399-473. ⟨10.1111/mafi.12291⟩
Mathematical Finance, Wiley, 2021, 31 (1), pp.399-473. ⟨10.1111/mafi.12291⟩
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a common noise. We formulate the problem as a Principal-Agent problem with m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::020d2a79465f07b2132d6f685fb7fb8f
https://doi.org/10.1111/mafi.12291
https://doi.org/10.1111/mafi.12291
Publikováno v:
Mathematical Finance
We address the mechanism design problem of an exchange setting suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we provide the optimal compensation scheme of a market maker in quasi-explicit form. This c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd4567da5bb253ffb6567e289a326367
Publikováno v:
Journal of mathematical biology, vol 84, iss 5
In this work, we provide a general mathematical formalism to study the optimal control of an epidemic, such as the COVID-19 pandemic, via incentives to lockdown and testing. In particular, we model the interplay between the government and the populat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2b6887de4797c045ff72062b19164161
http://arxiv.org/abs/2009.00484
http://arxiv.org/abs/2009.00484
Autor:
Paul, Jusselin1 paul.jusselin@polytechnique.edu, Thibaut, Mastrolia1 thibaut.mastrolia@polytechnique.edu, Mathieu, Rosenbaum1 mathieu.rosenbaum@polytechnique.edu
Publikováno v:
Operations Research. Nov/Dec2021, Vol. 69 Issue 6, p1734-1745. 12p. 2 Charts.
Publikováno v:
SSRN Electronic Journal.
We introduce a new matching design for financial transactions in an electronic market. In this mechanism, called ad hoc electronic auction design (AHEAD), market participants can trade between themselves at a fixed price and trigger an auction when
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a335073d3fc083fe758ee3b29c24c439
https://doi.org/10.2139/ssrn.3705514
https://doi.org/10.2139/ssrn.3705514
Publikováno v:
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
SIAM Journal on Control and Optimization, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2019, 58 (1), pp.551-579. ⟨10.1137/19M1265740⟩
We investigate the impact of a regulation policy imposed on an agent exploiting a possibly renewable natural resource. We adopt a principal-agent model in which the Principal looks for a contract, i.e. taxes/compensations, leading the Agent to a cert
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b189d927006c0e291cb92b103409103d
https://hal.sorbonne-universite.fr/hal-03013860
https://hal.sorbonne-universite.fr/hal-03013860
Autor:
Paul Jusselin, Thibaut Mastrolia
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging martingales. In part
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a913a45903e73a660a75f810a54bfe6
http://arxiv.org/abs/1911.00672
http://arxiv.org/abs/1911.00672
We address the mechanism design problem of an exchange setting suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we provide the optimal compensation scheme of a market maker in quasi-explicit form. This c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::340e9966a23e85a5990790c9647c2243
https://hal.archives-ouvertes.fr/hal-02379592
https://hal.archives-ouvertes.fr/hal-02379592