Baldacci, Bastien
- Optimal make take fees in a multi market maker environment
2019/07/25 by Baldacci, Bastien, Possamaï, Dylan, Rosenbaum, Mathieu · 2 citations
#FOS: Economics and business #Mathematical Finance (q-fin.MF) #Trading and Market Microstructure (q-fin.TR)
- How to design a derivatives market?
2019/09/19 by Baldacci, Bastien, Jusselin, Paul, Rosenbaum, Mathieu · 2 citations
#FOS: Economics and business #General Economics (econ.GN) #Trading and Market Microstructure (q-fin.TR)
- A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
2020/06/19 by Baldacci, Bastien, Benveniste, Jerome · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- A mean-field game of market-making against strategic traders
2022/03/24 by Baldacci, Bastien, Bergault, Philippe, Possamaï, Dylan · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach
2019/12/02 by Bastien Baldacci, Iuliia Manziuk, Baldacci, Bastien +5 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
2024/04/21 by Baldacci, Bastien, Bergault, Philippe, Guéant, Olivier · 1 citation
#FOS: Economics and business #Pricing of Securities (q-fin.PR) #Risk Management (q-fin.RM)
- Optimal incentives in a limit order book: a SPDE control approach
2021/12/01 by Bastien Baldacci, Baldacci, Bastien, Philippe Bergault +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- On bid and ask side-specific tick sizes
2020/05/28 by Bastien Baldacci, Philippe Bergault, Baldacci, Bastien +5 · 1 citation
Economics, Econometrics and Finance · Business, Management and Accounting · #Financial Markets and Investment Strategies #Corporate Finance and Governance #Complex Systems and Time Series Analysis