8 citations · 12 across the 14 of their papers we have counts for
4 papers · 1 filter
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…
Algorithmic market making for options
Bastien Baldacci, Philippe Bergault, Olivier Guéant
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of…
Optimal make take fees in a multi market maker environment
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading qualit…