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