8 citations · 10 across the 4 of their papers we have counts for
7 papers
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…
Adaptive trading strategies across liquidity pools
Bastien Baldacci, Iuliia Manziuk
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread…
A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
Bastien Baldacci, Jerome Benveniste
We solve explicitly the Almgren-Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and…
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…
Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach
Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia +1
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attra…
How to design a derivatives market?
Bastien Baldacci, Paul Jusselin, Mathieu Rosenbaum
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two step…