Optimal make-take fees in a multi market-maker environment
| Autor: | Dylan Possamaï, Mathieu Rosenbaum, Bastien Baldacci |
|---|---|
| Přispěvatelé: | Département de Mathématiques Appliquées de l'École polytechnique (X-DEP-MATHAPP), École polytechnique (X), Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich] (ETH Zürich) |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Stochastic control
Numerical Analysis 050208 finance Applied Mathematics media_common.quotation_subject 05 social sciences Principal–agent problem Contract theory 01 natural sciences Market maker [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 010104 statistics & probability Financial regulation Order (exchange) 0502 economics and business Quality (business) Business 0101 mathematics High-frequency trading Finance Industrial organization ComputingMilieux_MISCELLANEOUS media_common |
| Zdroj: | SIAM Journal on Financial Mathematics SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2021, 12 (1), pp.446-486. ⟨10.1137/19M1277412⟩ |
| ISSN: | 1945-497X |
| DOI: | 10.1137/19M1277412⟩ |
| Popis: | Following the recent literature on make-take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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