Fany Declerck [Toulouse School of Economics], joint work with B. Biais and S. Moinas. Adverse selection and liquidity supply in a fast electronic market.

Weibing Huang [Université Paris 6 - Kepler-Cheuvreux], joint work with M. Rosenbaum and C.A. Lehalle. How to reconstitute high frequency features of an asset: a queue-reactive market model.

Paper on arxiv.org

 

Guillaume Royer [CMAP, Ecole Polytechnique Paris], joint work with Olivier Guéant and Jiang Pu. Optimal strategy for Accelerated Share Repurchase.

Paper on arxiv.org

 

Olivier Guéant [Université Paris 7], joint work with Jiang Pu. Option pricing and hedging with execution costs and market impact.

Paper on arxiv.org

 

Paul Besson [Kepler-Cheuvreux], joint work with C.A. Lehalle. A proposal to disentangle the contribution of market and limit orders in any price change.

Paper on SSRN

 

Silviu Vlasceanu [Kepler-Cheuvreux]. Targeting the close: stylized facts about end of day trading algorithms.

Thierry Foucault [HEC] and Charles-Albert Lehalle [Capital Fund Management]. From market microstructure to optimal trading. Part 2/2