5 citations · 5 across the 1 of their papers we have counts for
3 papers
From asymptotic properties of general point processes to the ranking of financial agents
Othmane Mounjid, Mathieu Rosenbaum, Pamela Saliba
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild…
Optimal liquidity-based trading tactics
Charles-Albert Lehalle, Othmane Mounjid, Mathieu Rosenbaum
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to fin…
Optimal inventory management and order book modeling
Nicolas Baradel, Bruno Bouchard, David Evangelista +1
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) fir…