22 citations · 43 across the 21 of their papers we have counts for
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q-fin.TR2018
Optimal make-take fees for market making regulation
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum +1
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit…
math.OC2018★ 1 cited
Contract theory in a VUCA world
Nicolás Hernández Santibánez, Thibaut Mastrolia
In this paper we investigate a Principal-Agent problem with moral hazard under Knightian uncertainty. We extend the seminal framework of Holmström and Milgrom by combining a Stacke…