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.