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High-frequency simulations of an order book : a two-scale approach

Lehalle, Charles-Albert; Guéant, Olivier; … - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 73-92). 2011

Persistent link: https://www.econbiz.de/10009348942

Execution and block trade pricing with optimal constant rate of participation

Guéant, Olivier - In: Journal of mathematical finance 4 (2014) 4, pp. 255-264

Persistent link: https://www.econbiz.de/10011312420

Agents' behavior on multi-dealer-to-client bond trading platforms

Fermanian, Jean-David; Guéant, Olivier; Rachez, Arnaud - 2015

Persistent link: https://www.econbiz.de/10011443259

The behavior of dealers and clients on the European corporate bond market : the case of multi-dealer-to-client platforms

Fermanian, Jean-David; Guéant, Olivier; Pu, Jiang - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-38

Persistent link: https://www.econbiz.de/10011715778

The behavior of dealers and clients on the European corporate bond market : the case of multi-dealer-to-client platforms

Fermanian, Jean-David; Guéant, Olivier; Pu, Jiang - 2016

Persistent link: https://www.econbiz.de/10012196277

Algorithmic market making for options

Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier - In: Quantitative finance 21 (2021) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10012424635

Algorithmic market making in dealer markets with hedging and market impact

Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 41-79

Persistent link: https://www.econbiz.de/10014278660

Closed-form approximations in multi-asset market making

Bergault, Philippe; Evangelista, David; Guéant, Olivier; … - In: Applied mathematical finance 28 (2021) 2, pp. 101-142

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High-frequency trading meets online learning

Fernandez-Tapia, Joaquin - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10011588235

High-Frequency Trading Meets Reinforcement Learning : Exploiting the Iterative Nature of Trading Algorithms

Fernandez-Tapia, Joaquin - 2015

We propose an optimization framework for market-making in a limit-order book, based on the theory of stochastic approximation. We consider a discrete-time variant of the Avellaneda-Stoikov model similar to its development in an article of Laruelle, Lehalle and Pagès in the context of optimal...

Persistent link: https://www.econbiz.de/10013024380