189 citations · 697 across the 47 of their papers we have counts for
17 papers · 1 filter
Equilibria and incentives for illiquid auction markets
Joffrey Derchu, Dimitrios Kavvathas, Thibaut Mastrolia +1
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal str…
Understanding the worst-kept secret of high-frequency trading
Sergio Pulido, Mathieu Rosenbaum, Emmanouil Sfendourakis
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationsh…
Towards systematic intraday news screening: a liquidity-focused approach
Jianfei Zhang, Mathieu Rosenbaum
News can convey bearish or bullish views on financial assets. Institutional investors need to evaluate automatically the implied news sentiment based on textual data. Given the hug…
A characterisation of cross-impact kernels
Mathieu Rosenbaum, Mehdi Tomas
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact model…
AHEAD : Ad-Hoc Electronic Auction Design
Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia +1
We introduce a new matching design for financial transactions in an electronic market. In this mechanism, called ad-hoc electronic auction design (AHEAD), market participants can t…
On bid and ask side-specific tick sizes
Bastien Baldacci, Philippe Bergault, Joffrey Derchu +1
The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure. In particular, the behavior of high fr…