8 citations · 14 across the 3 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
Optimal VWAP execution under transient price impact
Alexander Barzykin, Fabrizio Lillo
We solve the problem of optimal liquidation with volume weighted average price (VWAP) benchmark when the market impact is linear and transient. Our setting is indeed more general a…