1 citations · 3 across the 4 of their papers we have counts for
6 papers
Equilibria and incentives for illiquid auction markets
Joffrey Derchu, Dimitrios Kavvathas, Thibaut Mastrolia +1
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal str…
On Z-mean reflected BSDEs
Joffrey Derchu, Thibaut Mastrolia
In this paper we provide conditions for the existence of supersolutions to BSDEs with mean-reflections on the component. We show that, contrary to BSDEs with mean-reflections o…
A Bayesian viewpoint on the price formation process
Joffrey Derchu
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities f…
AHEAD : Ad-Hoc Electronic Auction Design
Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia +1
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 t…
An approximate solution for options market-making in high dimension
Bastien Baldacci, Joffrey Derchu, Iuliia Manziuk
Managing a book of options on several underlying involves controlling positions of several thousands of financial assets. It is one of the most challenging financial problems invol…
On bid and ask side-specific tick sizes
Bastien Baldacci, Philippe Bergault, Joffrey Derchu +1
The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure. In particular, the behavior of high fr…