no code implementations • 28 Jul 2023 • Joffrey Derchu, Dimitrios Kavvathas, Thibaut Mastrolia, Mathieu Rosenbaum
We study a toy two-player game for periodic double auction markets to generate liquidity.
no code implementations • 6 Oct 2020 • Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia, Mathieu Rosenbaum
We introduce a new matching design for financial transactions in an electronic market.
no code implementations • 1 Sep 2020 • Emma Hubert, Thibaut Mastrolia, Dylan Possamaï, Xavier Warin
In terms of technical results, we demonstrate the optimal form of the tax, indexed on the proportion of infected individuals, as well as the optimal effort of the population, namely the transmission rate chosen in response to this tax.
no code implementations • 2 Dec 2019 • Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia, Mathieu Rosenbaum
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange.
no code implementations • 4 Jun 2019 • Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
We compute the optimal duration of the auctions for 77 stocks traded on Euronext and compare the quality of price formation process under this optimal value to the case of a continuous limit order book.
no code implementations • 7 May 2018 • Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum, Nizar Touzi
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform.
