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