8 citations · 12 across the 14 of their papers we have counts for
4 papers · 1 filter
Optimal incentives in a limit order book: a SPDE control approach
Bastien Baldacci, Philippe Bergault
With the fragmentation of electronic markets, exchanges are now competing in order to attract trading activity on their platform. Consequently, they developed several regulatory to…
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…
Liquidity Stress Testing using Optimal Portfolio Liquidation
Mike Weber, Iuliia Manziuk, Bastien Baldacci
We build an optimal portfolio liquidation model for OTC markets, aiming at minimizing the trading costs via the choice of the liquidation time. We work in the Locally Linear Order…
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…