1 citations · 2 across the 2 of their papers we have counts for
3 papers
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…