no code implementations • 12 Mar 2020 • Paul Jusselin
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows.
no code implementations • 19 Sep 2019 • Bastien Baldacci, Paul Jusselin, Mathieu Rosenbaum
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity.
no code implementations • 4 Jun 2019 • Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
We compute the optimal duration of the auctions for 77 stocks traded on Euronext and compare the quality of price formation process under this optimal value to the case of a continuous limit order book.