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q-fin.TR2019
Optimal make take fees in a multi market maker environment
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading qualit…
math.PR2019
Mean-field moral hazard for optimal energy demand response management
Romuald Elie, Emma Hubert, Thibaut Mastrolia +1
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a comm…
q-fin.PM2019
Equilibrium Asset Pricing with Transaction Costs
Martin Herdegen, Johannes Muhle-Karbe, Dylan Possamaï
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are charac…