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

Thierry Foucault [HEC] and Charles-Albert Lehalle [Capital Fund Management]. From market microstructure to optimal trading. Part 1/2

Next Trading and MicroStructure Workshop the 17th of Jan 2014

This time it will be at the Amphithéâtre Maurice Halwachs (Collège de France) 11 Place Marcellin Berthelot - 75005 Paris. Preliminary Program:

Market Microstructure Conference in Paris the 10th of Dec 2012

The international conference:

Market Microstructure: Confronting Many Viewpoints Will begin next Monday (the 10th in Paris), here is the program:
To add it to your smart phone calendar, click here.

Dealing with the Inventory Risk

Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia

 

Published in Mathematics and Financial Economics, September 2013, Volume 7, Issue 4, pp 477-507.
Preprint in arxiv.

 

High-Frequency Trading and The New-Market Makers

Albert Menkveld

 

Published in Journal of Financial Markets, 16, 712-740.
Preprint on SSRN

 

Price dynamics in limit order markets

Rama Cont and Adrien de Larrard

  Published in SIAM Journal on Financial Mathematics, 4(1), 1–25. (25 pages)
Preprint on SSRN

 

focus on high frequency market makers the 9th of Sept (Fri)

9h30. Albert Menkveld [VU University Amsterdam and TI Duisenberg School of Finance].High Frequency Trading and
the New-Market Makers

10h30. Rama Cont [Columbia and Paris 6 Universities], joint work with A. De Larrard.

11h30. Olivier Guéant [Paris 7 University], joint work with J. Fernandez-Tapia and C.A. Lehalle.Dealing with the
Inventory Risk

Market Microstructure: confronting many viewpoints

This international conference will replace this year workshops:

Market Microstructure: confronting many viewpoints

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)