8 citations · 12 across the 14 of their papers we have counts for
3 papers · 1 filter
A mean-field game of market-making against strategic traders
Bastien Baldacci, Philippe Bergault, Dylan Possamaï
We design a market-making model à la Avellaneda-Stoikov in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous tra…
Governmental incentives for green bonds investment
Bastien Baldacci, Dylan Possamaï
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same gover…
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…