2 citations · 2 across the 5 of their papers we have counts for
5 papers
Optimal Exit Time for Liquidity Providers in Automated Market Makers
Philippe Bergault, Sébastien Bieber, Leandro Sánchez-Betancourt
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are ex…
Optimal hedging of an informed broker facing many traders
Philippe Bergault, Pierre Cardaliaguet, Wenbin Yan
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which th…
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Alif Aqsha, Philippe Bergault, Leandro Sánchez-Betancourt
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by…
Automated Market Making: the case of Pegged Assets
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currenc…
A Mean Field Game between Informed Traders and a Broker
Philippe Bergault, Leandro Sánchez-Betancourt
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal…