1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.TR2020★ 1 cited
On bid and ask side-specific tick sizes
Bastien Baldacci, Philippe Bergault, Joffrey Derchu +1
The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure. In particular, the behavior of high fr…
q-fin.CP2019
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…