7 papers
Trading in CEXs and DEXs with Priority Fees and Stochastic Delays
Philippe Bergault, Yadh Hafsi, Leandro Sánchez-Betancourt
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impul…
Optimal Exit Time for Liquidity Providers in Automated Market Makers
Philippe Bergault, Sébastien Bieber, Leandro Sánchez-Betancourt
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are ex…
Competition and Incentives in a Shared Order Book
René Aïd, Philippe Bergault, Mathieu Rosenbaum
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this p…
Optimal hedging of an informed broker facing many traders
Philippe Bergault, Pierre Cardaliaguet, Wenbin Yan
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which th…
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Alif Aqsha, Philippe Bergault, Leandro Sánchez-Betancourt
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by…
A Mean Field Game between Informed Traders and a Broker
Philippe Bergault, Leandro Sánchez-Betancourt
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal…
Mean Field Games in a Stackelberg problem with an informed major player
Philippe Bergault, Pierre Cardaliaguet, Catherine Rainer
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a p…