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.