Outside and Inside Liquidity

Outside and Inside Liquidity

Patirck Bolton, Tano Santos and José A. Scheinkman

 

Published in Quarterly Journal of Economics, Volume 126, Issue 1. 259-321
Preprint on NBER.

 

Optimal split of orders across liquidity pools: a stochastic algorithm approach

Optimal split of orders across liquidity pools: a stochastic algorithm approach

Sophie Laruelle, Charles-Albert Lehalle & Gilles Pagès

 

Published in SIAM Journal on Financial Mathematics, 2(1), 1042–1076. (35 pages)
Preprint on arxiv.

 

Controlled simulations of high frequency markets : a Mean Field Game approach

Controlled simulations of high frequency markets : a Mean Field Game approach

Olivier Guéant, Adrian Iuga, Charles-Albert Lehalle

 

Published in Econophysics of Order-driven Markets: Proceedings of Econophys-Kolkata V

 

Inter Market Competition, Trading Fees and the Make/Take Decision

Inter Market Competition, Trading Fees and the Make/Take Decision

Jean-Edouard Colliard, PSE, Thierry Foucault, HEC

 

Published in Review of Financial Studies, 25, 3389-3421; 2012.

 

Workshop du 22 octobre 2009 au matin

La prochaine édition du Workshop aura lieu le 22 octobre au matin, au Collège de france.



Les intervenants:

• Thierry Foucault [HEC], Competition between trading platforms : do make-take fees matter ? (joint work with J.E. Colliard)


• Sophie Laruelle & Gilles Pagès [LPMA] Optimal Split of Orders across Liquidity Pools : A Stochastic Algorithm Approach (joint work with C.A. Lehalle)


• Olivier Guéant [CEREMADE] & Adrian Iuga [ENS] Control led simulation of high frequency markets : a Mean Field Game approach (joint work with C.A. Lehalle)


• Jose Scheinkman [Princeton], Market and Public Liquidity (joint work with P. Bolton and T. Santos)