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Olivier Guéant
(Olivier Gueant)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857966, HAL.

    Cited by:

    1. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.

  2. Philippe Bergault & Fayçal Drissi & Olivier Guéant, 2022. "Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03680071, HAL.

    Cited by:

    1. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision," Papers 2309.08431, arXiv.org, revised Jun 2024.
    2. Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org.
    3. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Execution and Speculation," Papers 2307.03499, arXiv.org.
    4. Alvaro Arroyo & Alvaro Cartea & Fernando Moreno-Pino & Stefan Zohren, 2023. "Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers," Papers 2306.05479, arXiv.org.
    5. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.

  3. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Working Papers hal-03857976, HAL.

    Cited by:

    1. Kubo, Kenji & Nakagawa, Kei & Mizukami, Daiki & Acharya, Dipesh, 2023. "Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control," Finance Research Letters, Elsevier, vol. 53(C).

  4. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Working Papers hal-03857966, HAL.

    Cited by:

    1. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.

  5. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857976, HAL.

    Cited by:

    1. Kubo, Kenji & Nakagawa, Kei & Mizukami, Daiki & Acharya, Dipesh, 2023. "Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control," Finance Research Letters, Elsevier, vol. 53(C).

  6. Philippe Bergault & Olivier Guéant & David Evangelista & Douglas Vieira, 2021. "Closed-form Approximations in Multi-asset Market Making," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03680074, HAL.

    Cited by:

    1. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Papers 2405.03496, arXiv.org, revised May 2024.
    2. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    3. Zhou Fang & Haiqing Xu, 2023. "Market Making of Options via Reinforcement Learning," Papers 2307.01814, arXiv.org.
    4. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    5. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
    6. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Papers 2207.04100, arXiv.org, revised Oct 2023.
    7. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

  7. Bastien Baldacci & Philippe Bergault & Olivier Guéant, 2021. "Algorithmic market making for options," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252585, HAL.

    Cited by:

    1. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    2. Zhou Fang & Haiqing Xu, 2023. "Market Making of Options via Reinforcement Learning," Papers 2307.01814, arXiv.org.
    3. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    4. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    5. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
    6. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

  8. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.

    Cited by:

    1. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.

  9. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Working Papers hal-02987889, HAL.

    Cited by:

    1. Mohamed Hamdouche & Pierre Henry-Labordere & Huyen Pham, 2023. "Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing," Papers 2302.07320, arXiv.org.
    2. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
    3. Tao-Hsien Dolly King & Charles E. Teague, 2022. "Accelerated share repurchases: value creation or extraction," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 171-216, January.
    4. Doumpos, Michalis & Zopounidis, Constantin & Gounopoulos, Dimitrios & Platanakis, Emmanouil & Zhang, Wenke, 2023. "Operational research and artificial intelligence methods in banking," European Journal of Operational Research, Elsevier, vol. 306(1), pages 1-16.

  10. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987889, HAL.

    Cited by:

    1. Mohamed Hamdouche & Pierre Henry-Labordere & Huyen Pham, 2023. "Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing," Papers 2302.07320, arXiv.org.
    2. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2024. "Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts," Papers 2404.13754, arXiv.org, revised May 2024.
    3. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
    4. Tao-Hsien Dolly King & Charles E. Teague, 2022. "Accelerated share repurchases: value creation or extraction," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 171-216, January.
    5. Doumpos, Michalis & Zopounidis, Constantin & Gounopoulos, Dimitrios & Platanakis, Emmanouil & Zhang, Wenke, 2023. "Operational research and artificial intelligence methods in banking," European Journal of Operational Research, Elsevier, vol. 306(1), pages 1-16.

  11. Olivier Guéant & Iuliia Manziuk, 2020. "Optimal control on graphs: existence, uniqueness, and long-term behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252606, HAL.

    Cited by:

    1. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    2. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.

  12. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.

    Cited by:

    1. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.

  13. Olivier Guéant & Iuliia Manziuk, 2019. "Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252505, HAL.

    Cited by:

    1. Jiafa He & Cong Zheng & Can Yang, 2023. "Integrating Tick-level Data and Periodical Signal for High-frequency Market Making," Papers 2306.17179, arXiv.org.
    2. Thomas Spooner & Rahul Savani, 2020. "Robust Market Making via Adversarial Reinforcement Learning," Papers 2003.01820, arXiv.org, revised Jul 2020.
    3. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
    4. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    5. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    6. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
    7. Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
    8. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    9. Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
    10. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
    11. Bastien Baldacci & Jerome Benveniste & Gordon Ritter, 2020. "Optimal trading without optimal control," Papers 2012.12945, arXiv.org.
    12. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
    13. Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.
    14. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
    15. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
    16. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
    17. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
    18. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
    19. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
    20. Bruno Gašperov & Stjepan Begušić & Petra Posedel Šimović & Zvonko Kostanjčar, 2021. "Reinforcement Learning Approaches to Optimal Market Making," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
    21. Nelson Vadori & Sumitra Ganesh & Prashant Reddy & Manuela Veloso, 2020. "Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty," Papers 2006.12686, arXiv.org, revised Sep 2020.
    22. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
    23. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

  14. Alexis Bismuth & Olivier Guéant & Jiang Pu, 2019. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252482, HAL.

    Cited by:

    1. Felix Dammann & Giorgio Ferrari, 2023. "Optimal execution with multiplicative price impact and incomplete information on the return," Finance and Stochastics, Springer, vol. 27(3), pages 713-768, July.
    2. Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
    3. Dammann, Felix & Ferrari, Giorgio, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Center for Mathematical Economics Working Papers 663, Center for Mathematical Economics, Bielefeld University.
    4. Felix Dammann & Giorgio Ferrari, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Papers 2202.10414, arXiv.org, revised Nov 2022.
    5. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
    6. Dongmei Zhu & Harry Zheng, 2022. "Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 194(1), pages 191-219, July.

  15. Olivier Guéant, 2017. "Optimal market making," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02862554, HAL.

    Cited by:

    1. Lester Ingber, 2020. "Developing Bid-Ask Probabilities for High-Frequency Trading," Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.
    2. Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2020. "How to build a cross-impact model from first principles: Theoretical requirements and empirical results," Papers 2004.01624, arXiv.org, revised Mar 2022.
    3. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019. "Optimal inventory management and order book modeling," Post-Print hal-01710301, HAL.
    4. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
    5. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Papers 1802.08135, arXiv.org, revised Nov 2018.
    6. Yagna Patel, 2018. "Optimizing Market Making using Multi-Agent Reinforcement Learning," Papers 1812.10252, arXiv.org.
    7. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.

  16. Jean-David Fermanian & Olivier Guéant & Jiang Pu, 2016. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Working Papers hal-01393134, HAL.

    Cited by:

    1. Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018. "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series 230, Leibniz Institute for Financial Research SAFE.
    2. Sarah Auster & Piero Gottardi & Ronald Wolthoff, 2022. "Simultaneous Search and Adverse Selection," Working Papers tecipa-715, University of Toronto, Department of Economics.
    3. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2022. "Transaction cost analytics for corporate bonds," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1295-1319, July.
    4. Riggs, Lynn & Onur, Esen & Reiffen, David & Zhu, Haoxiang, 2020. "Swap trading after Dodd-Frank: Evidence from index CDS," Journal of Financial Economics, Elsevier, vol. 137(3), pages 857-886.
    5. Pierre-Olivier Weill, 2020. "The search theory of OTC markets," NBER Working Papers 27354, National Bureau of Economic Research, Inc.
    6. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.

  17. Jean-David Fermanian & Olivier Guéant & Jiang Pu, 2016. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Working Papers 2016-34, Center for Research in Economics and Statistics.

    Cited by:

    1. Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018. "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series 230, Leibniz Institute for Financial Research SAFE.
    2. Sarah Auster & Piero Gottardi & Ronald Wolthoff, 2022. "Simultaneous Search and Adverse Selection," Working Papers tecipa-715, University of Toronto, Department of Economics.
    3. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2022. "Transaction cost analytics for corporate bonds," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1295-1319, July.
    4. Riggs, Lynn & Onur, Esen & Reiffen, David & Zhu, Haoxiang, 2020. "Swap trading after Dodd-Frank: Evidence from index CDS," Journal of Financial Economics, Elsevier, vol. 137(3), pages 857-886.
    5. Pierre-Olivier Weill, 2020. "The search theory of OTC markets," NBER Working Papers 27354, National Bureau of Economic Research, Inc.
    6. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.

  18. Olivier Guéant, 2016. "Optimal market making," Working Papers hal-01393135, HAL.

    Cited by:

    1. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
    2. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
    3. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  19. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

    Cited by:

    1. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
    2. Alexis Bismuth & Olivier Gu'eant & Jiang Pu, 2016. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Papers 1611.07843, arXiv.org, revised Mar 2019.
    3. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.

  20. Olivier Guéant, 2015. "Optimal execution and block trade pricing: a general framework," Post-Print hal-01393118, HAL.

    Cited by:

    1. Alexis Bismuth & Olivier Gu'eant & Jiang Pu, 2016. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Papers 1611.07843, arXiv.org, revised Mar 2019.
    2. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
    3. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  21. Olivier Guéant, 2015. "General Intensity Shapes in Optimal Liquidation," Post-Print hal-01393116, HAL.

    Cited by:

    1. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    2. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    3. Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
    4. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
    5. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    6. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  22. Olivier Guéant & Jiang Pu & Royer Guillaume, 2015. "Accelerated Share Repurchase: pricing and execution strategy," Post-Print hal-01393126, HAL.

    Cited by:

    1. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987889, HAL.
    2. Mohamed Hamdouche & Pierre Henry-Labordere & Huyen Pham, 2023. "Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing," Papers 2302.07320, arXiv.org.
    3. Alexis Bismuth & Olivier Gu'eant & Jiang Pu, 2016. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Papers 1611.07843, arXiv.org, revised Mar 2019.
    4. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
    5. Olivier Gu'eant & Iuliia Manziuk & Jiang Pu, 2019. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Papers 1907.09753, arXiv.org, revised Nov 2019.
    6. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Working Papers hal-02987889, HAL.
    7. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
    8. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  23. Olivier Guéant & Jean-Michel Lasry & Jiang Pu, 2015. "A convex duality method for optimal liquidation with participation constraints," Post-Print hal-01393127, HAL.

    Cited by:

    1. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations," Papers 1902.09606, arXiv.org.
    2. Joaquin Fernandez-Tapia & Olivier Gu'eant, 2020. "Recipes for hedging exotics with illiquid vanillas," Papers 2005.10064, arXiv.org, revised May 2020.
    3. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  24. Jean-David Fermanian & Olivier Guéant & Arnaud Rachez, 2015. "Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms," Working Papers 2015-11, Center for Research in Economics and Statistics.

    Cited by:

    1. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2022. "Transaction cost analytics for corporate bonds," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1295-1319, July.
    2. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.

  25. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.

    Cited by:

    1. Anderegg, Benjamin & Ulmann, Florian & Sornette, Didier, 2022. "The impact of option hedging on the spot market volatility," Journal of International Money and Finance, Elsevier, vol. 124(C).
    2. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    3. Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
    4. Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
    5. Peter Bank & Mete Soner & Moritz Vo{ss}, 2015. "Hedging with Temporary Price Impact," Papers 1510.03223, arXiv.org, revised Jul 2016.

  26. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.

    Cited by:

    1. Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.
    2. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
    3. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
    4. Simon Clinet & Jean-Franc{c}ois Perreton & Serge Reydellet, 2021. "Optimal trading: a model predictive control approach," Papers 2110.11008, arXiv.org, revised Nov 2021.
    5. Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
    6. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  27. Olivier Guéant, 2014. "Execution and block trade pricing with optimal constant rate of participation," Post-Print hal-01393120, HAL.

    Cited by:

    1. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  28. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.

    Cited by:

    1. Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
    2. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    3. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
    4. Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry, 2015. "Optimal Real-Time Bidding Strategies," Papers 1511.08409, arXiv.org, revised Jun 2016.
    5. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    6. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
    7. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
    8. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Papers 2405.03496, arXiv.org, revised May 2024.
    9. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    10. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
    11. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    12. N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    13. Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley, 2013. "Realtime market microstructure analysis: online Transaction Cost Analysis," Papers 1302.6363, arXiv.org, revised Mar 2013.
    14. Leo Ardon & Nelson Vadori & Thomas Spooner & Mengda Xu & Jared Vann & Sumitra Ganesh, 2021. "Towards a fully RL-based Market Simulator," Papers 2110.06829, arXiv.org, revised Nov 2021.
    15. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    16. Ryan Donnelly & Zi Li, 2022. "Dynamic Inventory Management with Mean-Field Competition," Papers 2210.17208, arXiv.org.
    17. Bastien Baldacci & Iuliia Manziuk & Thibaut Mastrolia & Mathieu Rosenbaum, 2019. "Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach," Papers 1912.01129, arXiv.org.
    18. Jean-David Fermanian & Olivier Gu'eant & Jiang Pu, 2015. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Papers 1511.07773, arXiv.org, revised Mar 2017.
    19. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    20. Christoph Kuhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
    21. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
    22. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    23. Ali, Syed Mithun & Rahman, Md. Hafizur & Tumpa, Tasmia Jannat & Moghul Rifat, Abid Ali & Paul, Sanjoy Kumar, 2018. "Examining price and service competition among retailers in a supply chain under potential demand disruption," Journal of Retailing and Consumer Services, Elsevier, vol. 40(C), pages 40-47.
    24. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    25. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
    26. Ali Raheman & Anton Kolonin & Alexey Glushchenko & Arseniy Fokin & Ikram Ansari, 2022. "Adaptive Multi-Strategy Market-Making Agent For Volatile Markets," Papers 2204.13265, arXiv.org.
    27. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    28. Bastien Baldacci & Dylan Possamai & Mathieu Rosenbaum, 2019. "Optimal make take fees in a multi market maker environment," Papers 1907.11053, arXiv.org, revised Mar 2021.
    29. Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
    30. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.
    31. Jack Sarkissian, 2013. "Coupled mode theory of stock price formation," Papers 1312.4622, arXiv.org.
    32. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    33. Hui Niu & Siyuan Li & Jiahao Zheng & Zhouchi Lin & Jian Li & Jian Guo & Bo An, 2023. "IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making," Papers 2308.08918, arXiv.org.
    34. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
    35. Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
    36. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    37. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    38. Pietro Fodra & Huy^en Pham, 2013. "High frequency trading and asymptotics for small risk aversion in a Markov renewal model," Papers 1310.1756, arXiv.org, revised Jan 2015.
    39. Jialiang Luo & Harry Zheng, 2021. "Dynamic Equilibrium of Market Making with Price Competition," Dynamic Games and Applications, Springer, vol. 11(3), pages 556-579, September.
    40. Sergio Pulido & Mathieu Rosenbaum & Emmanouil Sfendourakis, 2023. "Understanding the least well-kept secret of high-frequency trading," Papers 2307.15599, arXiv.org.
    41. Nelson Vadori & Leo Ardon & Sumitra Ganesh & Thomas Spooner & Selim Amrouni & Jared Vann & Mengda Xu & Zeyu Zheng & Tucker Balch & Manuela Veloso, 2022. "Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations," Papers 2210.07184, arXiv.org, revised Aug 2023.
    42. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
    43. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    44. Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
    45. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    46. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
    47. Bastien Baldacci & Jerome Benveniste & Gordon Ritter, 2020. "Optimal trading without optimal control," Papers 2012.12945, arXiv.org.
    48. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    49. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
    50. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2013. "Simulating and analyzing order book data: The queue-reactive model," Papers 1312.0563, arXiv.org, revised Sep 2014.
    51. Bingyan Han, 2022. "Can maker-taker fees prevent algorithmic cooperation in market making?," Papers 2211.00496, arXiv.org.
    52. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
    53. Marina Di Giacinto & Claudio Tebaldi & Tai-Ho Wang, 2021. "Optimal order execution under price impact: A hybrid model," Papers 2112.02228, arXiv.org, revised Aug 2022.
    54. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
    55. Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
    56. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    57. Anastasia Bugaenko, 2020. "Empirical Study of Market Impact Conditional on Order-Flow Imbalance," Papers 2004.08290, arXiv.org, revised Apr 2020.
    58. Hadrien De March & Charles-Albert Lehalle, 2018. "Optimal trading using signals," Papers 1811.03718, arXiv.org.
    59. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    60. Shiqi Gong & Shuaiqiang Liu & Danny D. Sun, 2023. "Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis," Papers 2306.02764, arXiv.org.
    61. Jack Sarkissian, 2016. "Spread, volatility, and volume relationship in financial markets and market making profit optimization," Papers 1606.07381, arXiv.org.
    62. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
    63. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
    64. Olivier Gu'eant & Iuliia Manziuk, 2019. "Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality," Papers 1910.13205, arXiv.org.
    65. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall," Papers 1205.3482, arXiv.org, revised Dec 2013.
    66. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
    67. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Papers 2112.02269, arXiv.org, revised Jun 2023.
    68. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
    69. Jack Sarkissian, 2016. "Quantum theory of securities price formation in financial markets," Papers 1605.04948, arXiv.org, revised May 2016.
    70. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
    71. Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
    72. M. Alessandra Crisafi & Andrea Macrina, 2014. "Simultaneous Trading in 'Lit' and Dark Pools," Papers 1405.2023, arXiv.org, revised Jan 2016.
    73. Paul Jusselin, 2020. "Optimal market making with persistent order flow," Papers 2003.05958, arXiv.org, revised Oct 2020.
    74. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.
    75. Sumitra Ganesh & Nelson Vadori & Mengda Xu & Hua Zheng & Prashant Reddy & Manuela Veloso, 2019. "Reinforcement Learning for Market Making in a Multi-agent Dealer Market," Papers 1911.05892, arXiv.org.
    76. Bastien Baldacci & Philippe Bergault & Joffrey Derchu & Mathieu Rosenbaum, 2020. "On bid and ask side-specific tick sizes," Papers 2005.14126, arXiv.org, revised May 2020.
    77. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
    78. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
    79. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    80. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.
    81. Jean-David Fermanian & Olivier Guéant & Arnaud Rachez, 2015. "Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms," Working Papers 2015-11, Center for Research in Economics and Statistics.
    82. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Papers 2207.04100, arXiv.org, revised Oct 2023.
    83. Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
    84. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
    85. Thomas Spooner & John Fearnley & Rahul Savani & Andreas Koukorinis, 2018. "Market Making via Reinforcement Learning," Papers 1804.04216, arXiv.org.
    86. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    87. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
    88. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2018. "Optimal make-take fees for market making regulation," Papers 1805.02741, arXiv.org, revised Nov 2019.
    89. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
    90. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
    91. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
    92. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
    93. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  29. Olivier Guéant & Roger Guesnerie & Jean-Michel Lasry, 2012. "Ecological intuition versus economic "reason"," Post-Print halshs-00754612, HAL.

    Cited by:

    1. Newbery, David M. G., 2018. "Policies for decarbonizing a liberalized power sector," Economics Discussion Papers 2018-29, Kiel Institute for the World Economy (IfW Kiel).
    2. Stefan Baumgaertner & Alexandra M. Klein & Denise Thiel & Klara Winkler, 2013. "Ramsey discounting of ecosystem services," Working Paper Series in Economics 281, University of Lüneburg, Institute of Economics.
    3. Echazu Luciana & Nocetti Diego & Smith William T., 2012. "A New Look into the Determinants of the Ecological Discount Rate: Disentangling Social Preferences," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 12(1), pages 1-44, April.
    4. Moritz A. Drupp & Martin C. Hänsel, 2020. "Relative Prices and Climate Policy: How the Scarcity of Non-Market Goods Drives Policy Evaluation," CESifo Working Paper Series 8052, CESifo.
    5. Xing, Shiqi & Batabyal, Amitrajeet, 2019. "A Safe Minimum Standard, an Elasticity of Substitution, and the Cleanup of the Ganges in Varanasi," MPRA Paper 93846, University Library of Munich, Germany, revised 15 Mar 2019.
    6. Katsuyuki Shibayama & Iain Fraser, 2014. "Nonhomothetic Growth Models For The Environmental Kuznets Curve," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 919-942, August.
    7. Antonio Nesticò & Gabriella Maselli & Patrizia Ghisellini & Sergio Ulgiati, 2023. "A Dual Probabilistic Discounting Approach to Assess Economic and Environmental Impacts," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 85(1), pages 239-265, May.
    8. Vasquez-Lavín, Felipe & Ponce Oliva, Roberto D. & Hernández, José Ignacio & Gelcich, Stefan & Carrasco, Moisés & Quiroga, Miguel, 2019. "Exploring dual discount rates for ecosystem services: Evidence from a marine protected area network," Resource and Energy Economics, Elsevier, vol. 55(C), pages 63-80.

  30. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.

    Cited by:

    1. Campi, Luciano & Zabaljauregui, Diego, 2020. "Optimal market making under partial information with general intensities," LSE Research Online Documents on Economics 104612, London School of Economics and Political Science, LSE Library.
    2. Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
    3. Olivier Gu'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Dec 2014.
    4. Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry, 2015. "Optimal Real-Time Bidding Strategies," Papers 1511.08409, arXiv.org, revised Jun 2016.
    5. Bastien Baldacci & Jerome Benveniste, 2020. "A note on Almgren-Chriss optimal execution problem with geometric Brownian motion," Papers 2006.11426, arXiv.org, revised Jun 2020.
    6. Fengpei Li & Vitalii Ihnatiuk & Ryan Kinnear & Anderson Schneider & Yuriy Nevmyvaka, 2022. "Do price trajectory data increase the efficiency of market impact estimation?," Papers 2205.13423, arXiv.org, revised Mar 2023.
    7. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    8. Christopher Lorenz & Alexander Schied, 2013. "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, vol. 17(4), pages 743-770, October.
    9. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
    10. N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    11. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
    12. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    13. Ryan Donnelly & Zi Li, 2022. "Dynamic Inventory Management with Mean-Field Competition," Papers 2210.17208, arXiv.org.
    14. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
    15. Johannes Muhle‐Karbe & Zexin Wang & Kevin Webster, 2023. "A Leland model for delta hedging in central risk books," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 504-547, July.
    16. Ha, Youngmin & Zhang, Hai, 2020. "Algorithmic trading for online portfolio selection under limited market liquidity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1033-1051.
    17. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
    18. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    19. Felix Lokin & Fenghui Yu, 2024. "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers 2403.02572, arXiv.org.
    20. Jin Ma & Eunjung Noh, 2020. "Equilibrium Model of Limit Order Books: A Mean-field Game View," Papers 2002.12857, arXiv.org, revised Mar 2020.
    21. Álvaro Cartea & Leandro Sánchez-Betancourt, 2023. "Optimal execution with stochastic delay," Finance and Stochastics, Springer, vol. 27(1), pages 1-47, January.
    22. Chuheng Zhang & Yitong Duan & Xiaoyu Chen & Jianyu Chen & Jian Li & Li Zhao, 2023. "Towards Generalizable Reinforcement Learning for Trade Execution," Papers 2307.11685, arXiv.org.
    23. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    24. Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
    25. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
    26. S. C. P. Yam & W. Zhou, 2017. "Optimal Liquidation of Child Limit Orders," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 517-545, May.
    27. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
    28. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
    29. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
    30. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    31. Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
    32. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    33. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2020. "Price Impact on Term Structure," Papers 2011.10113, arXiv.org, revised Sep 2021.
    34. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
    35. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
    36. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
    37. Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
    38. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    39. Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu, 2015. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Papers 1512.08866, arXiv.org.
    40. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations," Papers 1902.09606, arXiv.org.
    41. Diego Zabaljauregui & Luciano Campi, 2019. "Optimal market making under partial information with general intensities," Papers 1902.01157, arXiv.org, revised Apr 2020.
    42. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
    43. Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
    44. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
    45. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
    46. Alvaro Cartea & Luhui Gan & Sebastian Jaimungal, 2018. "Trading Cointegrated Assets with Price Impact," Papers 1807.01428, arXiv.org.
    47. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
    48. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.
    49. Christopher Lorenz & Alexander Schied, 2012. "Drift dependence of optimal trade execution strategies under transient price impact," Papers 1204.2716, arXiv.org, revised Mar 2013.
    50. Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
    51. Virgil DAMIAN, 2015. "Modelling optimal execution strategies for Algorithmic trading," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(605), W), pages 99-104, Winter.
    52. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    53. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    54. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
    55. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
    56. Olivier Gu'eant & Jean-Michel Lasry & Jiang Pu, 2014. "A convex duality method for optimal liquidation with participation constraints," Papers 1407.4614, arXiv.org, revised Dec 2014.
    57. Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.
    58. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
    59. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  31. Olivier Guéant & Pierre Louis Lions & Jean-Michel Lasry, 2011. "Mean Field Games and Applications," Post-Print hal-01393103, HAL.

    Cited by:

    1. Achdou, Yves & Han, Jiequn & Lasry, Jean Michel & Lions, Pierre Louis & Moll, Ben, 2022. "Income and wealth distribution in macroeconomics: a continuous-time approach," LSE Research Online Documents on Economics 107422, London School of Economics and Political Science, LSE Library.
    2. Kalai, Ehud & Shmaya, Eran, 2018. "Large strategic dynamic interactions," Journal of Economic Theory, Elsevier, vol. 178(C), pages 59-81.
    3. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lions & Benjamin Moll, 2017. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," NBER Working Papers 23732, National Bureau of Economic Research, Inc.
    4. Haoyang Cao & Jodi Dianetti & Giorgio Ferrari, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Papers 2105.07213, arXiv.org.
    5. A. Bensoussan & K. Sung & S. Yam, 2013. "Linear–Quadratic Time-Inconsistent Mean Field Games," Dynamic Games and Applications, Springer, vol. 3(4), pages 537-552, December.
    6. Kashif Mehmood & Muhammad Tabish Niaz & Hyung Seok Kim, 2019. "A Power Control Mean Field Game Framework for Battery Lifetime Enhancement of Coexisting Machine-Type Communications," Energies, MDPI, vol. 12(20), pages 1-23, October.
    7. Martin Frank & Michael Herty & Torsten Trimborn, 2019. "Microscopic Derivation of Mean Field Game Models," Papers 1910.13534, arXiv.org.
    8. Qing Tang & Fabio Camilli, 2020. "Variational Time-Fractional Mean Field Games," Dynamic Games and Applications, Springer, vol. 10(2), pages 573-588, June.
    9. Nuño, Galo, 2013. "Optimal control with heterogeneous agents in continuous time," Working Paper Series 1608, European Central Bank.
    10. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2021. "A statistical field approach to capital accumulation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(4), pages 817-908, October.
    11. Benazzoli, Chiara & Campi, Luciano & Di Persio, Luca, 2019. "ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
    12. Erhan Bayraktar & Yuchong Zhang, 2016. "A rank based mean field game in the strong formulation," Papers 1603.06312, arXiv.org, revised Oct 2016.
    13. Minyi Huang, 2013. "A Mean Field Capital Accumulation Game with HARA Utility," Dynamic Games and Applications, Springer, vol. 3(4), pages 446-472, December.
    14. Ivan Cherednik, 2019. "Artificial intelligence approach to momentum risk-taking," Papers 1911.08448, arXiv.org, revised Mar 2020.
    15. Régis Chenavaz & Corina Paraschiv & Gabriel Turinici, 2021. "Dynamic Pricing of New Products in Competitive Markets: A Mean-Field Game Approach," Dynamic Games and Applications, Springer, vol. 11(3), pages 463-490, September.
    16. Enxian Chen & Lei Qiao & Xiang Sun & Yeneng Sun, 2019. "Robust perfect equilibrium in large games," Papers 1912.12908, arXiv.org, revised May 2021.
    17. Jin Ma & Eunjung Noh, 2020. "Equilibrium Model of Limit Order Books: A Mean-field Game View," Papers 2002.12857, arXiv.org, revised Mar 2020.
    18. Lacker, Daniel, 2015. "Mean field games via controlled martingale problems: Existence of Markovian equilibria," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2856-2894.
    19. Philippe Casgrain & Sebastian Jaimungal, 2018. "Mean-Field Games with Differing Beliefs for Algorithmic Trading," Papers 1810.06101, arXiv.org, revised Dec 2019.
    20. Chamberlain, Jonathan & Simhon, Eran & Starobinski, David, 2021. "Preemptible queues with advance reservations: Strategic behavior and revenue management," European Journal of Operational Research, Elsevier, vol. 293(2), pages 561-578.
    21. Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2019. "Contracting with Non-Exponential Discounting: Moral Hazard and Dynamic Inconsistency," Working Papers 2019-17, Princeton University. Economics Department..
    22. Zongxi Li & A. Max Reppen & Ronnie Sircar, 2019. "A Mean Field Games Model for Cryptocurrency Mining," Papers 1912.01952, arXiv.org, revised Jan 2022.
    23. Matteo Basei & Huyên Pham, 2019. "A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 181(2), pages 347-382, May.
    24. Philippe Casgrain & Sebastian Jaimungal, 2018. "Mean Field Games with Partial Information for Algorithmic Trading," Papers 1803.04094, arXiv.org, revised Mar 2019.
    25. A. Bensoussan & K. C. J. Sung & S. C. P. Yam & S. P. Yung, 2016. "Linear-Quadratic Mean Field Games," Journal of Optimization Theory and Applications, Springer, vol. 169(2), pages 496-529, May.
    26. Marcel Nutz, 2016. "A Mean Field Game of Optimal Stopping," Papers 1605.09112, arXiv.org, revised Nov 2017.
    27. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lionse & Benjamin Moll, 2022. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach [On the Existence and Uniqueness of Stationary Equilibrium in Bewley Economies with Production]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 45-86.
    28. Yves Achdou & Pierre-Noël Giraud & Jean-Michel Lasry & Pierre Louis Lions, 2016. "A Long-Term Mathematical Model for Mining Industries," Post-Print hal-01412551, HAL.
    29. Berenice Anne Neumann, 2020. "Stationary Equilibria of Mean Field Games with Finite State and Action Space," Dynamic Games and Applications, Springer, vol. 10(4), pages 845-871, December.
    30. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
    31. Michael Ludkovski & Xuwei Yang, 2017. "Mean Field Game Approach to Production and Exploration of Exhaustible Commodities," Papers 1710.05131, arXiv.org.
    32. Daniel Lacker & Thaleia Zariphopoulou, 2017. "Mean field and n-agent games for optimal investment under relative performance criteria," Papers 1703.07685, arXiv.org, revised Jun 2018.
    33. Cao, Haoyang & Guo, Xin, 2022. "MFGs for partially reversible investment," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 995-1014.
    34. Deepanshu Vasal, 2022. "Master equation of discrete-time Stackelberg mean field games with multiple leaders," Papers 2209.03186, arXiv.org.
    35. Philippe Casgrain & Sebastian Jaimungal, 2020. "Mean‐field games with differing beliefs for algorithmic trading," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 995-1034, July.
    36. Lijun Bo & Shihua Wang & Xiang Yu, 2021. "Mean Field Game of Optimal Relative Investment with Jump Risk," Papers 2108.00799, arXiv.org, revised Feb 2023.
    37. Neumann, Berenice Anne, 2022. "Essential stationary equilibria of mean field games with finite state and action space," Mathematical Social Sciences, Elsevier, vol. 120(C), pages 85-91.
    38. Dario Bauso & Raffaele Pesenti & Marco Tolotti, 2016. "Opinion Dynamics and Stubbornness Via Multi-Population Mean-Field Games," Journal of Optimization Theory and Applications, Springer, vol. 170(1), pages 266-293, July.
    39. Christoph Belak & Daniel Hoffmann & Frank T. Seifried, 2020. "Continuous-Time Mean Field Games with Finite StateSpace and Common Noise," Working Paper Series 2020-05, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    40. Paolo Dai Pra & Elena Sartori & Marco Tolotti, 2019. "Climb on the Bandwagon: Consensus and Periodicity in a Lifetime Utility Model with Strategic Interactions," Dynamic Games and Applications, Springer, vol. 9(4), pages 1061-1075, December.
    41. Olivier Gallay & Fariba Hashemi & Max-Olivier Hongler, 2019. "Imitation, Proximity, And Growth — A Collective Swarm Dynamics Approach," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-43, August.
    42. Fabio Priuli, 2015. "Linear-Quadratic $$N$$ N -Person and Mean-Field Games: Infinite Horizon Games with Discounted Cost and Singular Limits," Dynamic Games and Applications, Springer, vol. 5(3), pages 397-419, September.
    43. Amir Mosavi & Pedram Ghamisi & Yaser Faghan & Puhong Duan, 2020. "Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics," Papers 2004.01509, arXiv.org.
    44. Benazzoli, Chiara & Campi, Luciano & Di Persio, Luca, 2020. "Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6927-6964.
    45. Bonnemain, Thibault & Ullmo, Denis, 2019. "Mean field games in the weak noise limit : A WKB approach to the Fokker–Planck equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 310-325.
    46. Cao, Haoyang & Dianetti, Jodi & Ferrari, Giorgio, 2021. "Stationary Discounted and Ergodic Mean Field Games of Singular Control," Center for Mathematical Economics Working Papers 650, Center for Mathematical Economics, Bielefeld University.
    47. Amirhosein Mosavi & Yaser Faghan & Pedram Ghamisi & Puhong Duan & Sina Faizollahzadeh Ardabili & Ely Salwana & Shahab S. Band, 2020. "Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics," Mathematics, MDPI, vol. 8(10), pages 1-42, September.
    48. Mathieu Laurière & Olivier Pironneau, 2016. "Dynamic Programming for Mean-Field Type Control," Journal of Optimization Theory and Applications, Springer, vol. 169(3), pages 902-924, June.
    49. Ahuja, Saran & Ren, Weiluo & Yang, Tzu-Wei, 2019. "Forward–backward stochastic differential equations with monotone functionals and mean field games with common noise," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 3859-3892.
    50. Ermal Feleqi, 2013. "The Derivation of Ergodic Mean Field Game Equations for Several Populations of Players," Dynamic Games and Applications, Springer, vol. 3(4), pages 523-536, December.

  32. Olivier Guéant & Jean-Michel Lasry & Pierre Louis Lions, 2010. "Mean Field Games and Oil Production," Post-Print hal-01393104, HAL.

    Cited by:

    1. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
    4. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.
    5. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-521, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1177, CIRJE, Faculty of Economics, University of Tokyo.
    7. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-473, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1144, CIRJE, Faculty of Economics, University of Tokyo.
    9. Bouveret, Géraldine & Dumitrescu, Roxana & Tankov, Peter, 2022. "Technological change in water use: A mean-field game approach to optimal investment timing," Operations Research Perspectives, Elsevier, vol. 9(C).
    10. Masaaki Fujii, 2020. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-497, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    11. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
    12. Masaaki Fujii & Akihiko Takahashi, 2020. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," Papers 2003.03035, arXiv.org, revised Sep 2021.
    13. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.

Articles

  1. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
    See citations under working paper version above.
  2. Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
    See citations under working paper version above.
  3. Bastien Baldacci & Philippe Bergault & Olivier Guéant, 2021. "Algorithmic market making for options," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 85-97, January.

    Cited by:

    1. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    2. Zhou Fang & Haiqing Xu, 2023. "Market Making of Options via Reinforcement Learning," Papers 2307.01814, arXiv.org.
    3. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    4. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    5. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
    6. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

  4. Philippe Bergault & David Evangelista & Olivier Guéant & Douglas Vieira, 2021. "Closed-form Approximations in Multi-asset Market Making," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 101-142, March.

    Cited by:

    1. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Papers 2405.03496, arXiv.org, revised May 2024.
    2. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    3. Zhou Fang & Haiqing Xu, 2023. "Market Making of Options via Reinforcement Learning," Papers 2307.01814, arXiv.org.
    4. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    5. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    6. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
    7. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Papers 2207.04100, arXiv.org, revised Oct 2023.
    8. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

  5. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Quantitative Finance, Taylor & Francis Journals, vol. 20(8), pages 1389-1404, August.

    Cited by:

    1. Mohamed Hamdouche & Pierre Henry-Labordere & Huyen Pham, 2023. "Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing," Papers 2302.07320, arXiv.org.
    2. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2024. "Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts," Papers 2404.13754, arXiv.org, revised May 2024.
    3. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
    4. Tao-Hsien Dolly King & Charles E. Teague, 2022. "Accelerated share repurchases: value creation or extraction," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 171-216, January.
    5. Doumpos, Michalis & Zopounidis, Constantin & Gounopoulos, Dimitrios & Platanakis, Emmanouil & Zhang, Wenke, 2023. "Operational research and artificial intelligence methods in banking," European Journal of Operational Research, Elsevier, vol. 306(1), pages 1-16.

  6. Olivier Guéant & Iuliia Manziuk, 2019. "Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 26(5), pages 387-452, September.

    Cited by:

    1. Jiafa He & Cong Zheng & Can Yang, 2023. "Integrating Tick-level Data and Periodical Signal for High-frequency Market Making," Papers 2306.17179, arXiv.org.
    2. Thomas Spooner & Rahul Savani, 2020. "Robust Market Making via Adversarial Reinforcement Learning," Papers 2003.01820, arXiv.org, revised Jul 2020.
    3. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Papers 2405.03496, arXiv.org, revised May 2024.
    4. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
    5. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    6. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    7. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
    8. Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
    9. Hui Niu & Siyuan Li & Jiahao Zheng & Zhouchi Lin & Jian Li & Jian Guo & Bo An, 2023. "IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making," Papers 2308.08918, arXiv.org.
    10. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    11. Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
    12. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
    13. Bastien Baldacci & Jerome Benveniste & Gordon Ritter, 2020. "Optimal trading without optimal control," Papers 2012.12945, arXiv.org.
    14. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
    15. Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.
    16. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
    17. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
    18. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
    19. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
    20. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
    21. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
    22. Bruno Gašperov & Stjepan Begušić & Petra Posedel Šimović & Zvonko Kostanjčar, 2021. "Reinforcement Learning Approaches to Optimal Market Making," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
    23. Nelson Vadori & Sumitra Ganesh & Prashant Reddy & Manuela Veloso, 2020. "Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty," Papers 2006.12686, arXiv.org, revised Sep 2020.
    24. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
    25. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

  7. Olivier Guéant & Jiang Pu, 2017. "Option Pricing And Hedging With Execution Costs And Market Impact," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 803-831, July.
    See citations under working paper version above.
  8. Olivier Guéant, 2017. "Optimal market making," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(2), pages 112-154, March.

    Cited by:

    1. Lester Ingber, 2020. "Developing Bid-Ask Probabilities for High-Frequency Trading," Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.

  9. Olivier Guéant, 2015. "Optimal Execution and Block Trade Pricing: A General Framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 336-365, September.

    Cited by:

    1. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
    2. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  10. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
    See citations under working paper version above.
  11. Olivier Guéant & Jiang Pu & Guillaume Royer, 2015. "Accelerated Share Repurchase: Pricing And Execution Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.

    Cited by:

    1. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987889, HAL.
    2. Mohamed Hamdouche & Pierre Henry-Labordere & Huyen Pham, 2023. "Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing," Papers 2302.07320, arXiv.org.
    3. Alexis Bismuth & Olivier Gu'eant & Jiang Pu, 2016. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Papers 1611.07843, arXiv.org, revised Mar 2019.
    4. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
    5. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2024. "Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts," Papers 2404.13754, arXiv.org, revised May 2024.
    6. Olivier Gu'eant & Iuliia Manziuk & Jiang Pu, 2019. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Papers 1907.09753, arXiv.org, revised Nov 2019.
    7. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Working Papers hal-02987889, HAL.
    8. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
    9. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  12. Olivier Guéant & Roger Guesnerie & Jean‐Michel Lasry, 2012. "Ecological Intuition versus Economic “Reason”," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 14(2), pages 245-272, March.
    See citations under working paper version above.
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