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…