8 citations · 26 across the 20 of their papers we have counts for
4 papers · 1 filter
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…