8 citations · 26 across the 20 of their papers we have counts for
21 papers
Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market
Philippe Bergault, Sébastien Bieber, Olivier Guéant +1
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are us…
Optimal Fees for Liquidity Provision in Automated Market Makers
Steven Campbell, Philippe Bergault, Jason Milionis +1
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study…
Optimal Quoting under Adverse Selection and Price Reading
Alexander Barzykin, Philippe Bergault, Olivier Guéant +1
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from electronic platforms. In parallel, buildin…
To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management
Philippe Bergault, Olivier Guéant, Hamza Bodor
This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk…
Automated Market Making: the case of Pegged Assets
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currenc…
Simulating and analyzing a sparse order book: an application to intraday electricity markets
Philippe Bergault, Enzo Cognéville
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid…
Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity
Philippe Bergault, Louis Bertucci, David Bouba +2
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics,…
Market Making in Spot Precious Metals
Alexander Barzykin, Philippe Bergault, Olivier Guéant
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, whi…
Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
Bastien Baldacci, Philippe Bergault, Olivier Guéant
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which freque…
Liquidity Dynamics in RFQ Markets and Impact on Pricing
Philippe Bergault, Olivier Guéant
To assign a value to a portfolio, it is common to use Mark-to-Market prices. However, how should one proceed when the securities are illiquid? When transaction prices are scarce, h…
Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
Philippe Bergault, Louis Bertucci, David Bouba +1
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Mar…
Dealing with multi-currency inventory risk in FX cash markets
Alexander Barzykin, Philippe Bergault, Olivier Guéant
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To…
A mean-field game of market-making against strategic traders
Bastien Baldacci, Philippe Bergault, Dylan Possamaï
We design a market-making model à la Avellaneda-Stoikov in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous tra…
Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
Alexander Barzykin, Philippe Bergault, Olivier Guéant
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (in…
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…
Algorithmic market making in dealer markets with hedging and market impact
Alexander Barzykin, Philippe Bergault, Olivier Guéant
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting…
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
Philippe Bergault, Fayçal Drissi, Olivier Guéant
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of lar…
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…
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…
Size matters for OTC market makers: general results and dimensionality reduction techniques
Philippe Bergault, Olivier Guéant
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to bu…
Closed-form approximations in multi-asset market making
Philippe Bergault, David Evangelista, Olivier Guéant +1
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in thes…