8 citations · 9 across the 4 of their papers we have counts for
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q-fin.TR2020★ 1 cited
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…
q-fin.TR2020
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…