8 citations · 12 across the 14 of their papers we have counts for
9 papers · 1 filter
Optimal Turnover, Liquidity, and Autocorrelation
Bastien Baldacci, Jerome Benveniste, Gordon Ritter
The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in…
Optimal trading without optimal control
Bastien Baldacci, Jerome Benveniste, Gordon Ritter
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the…
High-frequency dynamics of the implied volatility surface
Bastien Baldacci
We present a Hawkes modeling of the volatility surface's high-frequency dynamics and show how the Hawkes kernel coefficients govern the surface's skew and convexity. We provide sim…
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…