138 citations
- Universidade Federal de Santa CatarinaBR10 papers
- Northern Illinois UniversityUS9 papers
- Institut national de recherche en sciences et technologies du numériqueFR7 papers
- Instituto Nacional de Matemática Pura e AplicadaBR6 papers
- Universidade de São PauloBR6 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR4 papers
- Centre National de la Recherche ScientifiqueFR4 papers
- École PolytechniqueFR4 papers
- Imperial College LondonGB4 papers
- Brazilian Society of Computational and Applied MathematicsBR3 papers
- Georgia Institute of TechnologyUS3 papers
- Institute of Science and Technology AustriaAT3 papers
Showing 2018Show all
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q-fin.TR2018
Closed-form approximations in multi-asset market making
Philippe Bergault, David Evangelista, Olivier Guéant +1
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 thes…
astro-ph.CO2018★ 4 cited
Data Analysis and Phenomenological Cosmology
Alan A. Coley, Beethoven Santos, Viraj A A Sanghai
In the era of precision cosmology, even percentage level effects are significant on cosmological observables. The recent tension between the local and global values of is muc…