Fabien Guilbaud

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

4

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50

Scholarly Papers (4)

1.

Optimal High Frequency Trading with Limit and Market Orders

Number of pages: 22 Posted: 24 Jun 2011
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 1,395 (12,832)
Citation 41

Abstract:

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Market making, limit order book, inventory risk, point process, stochastic control

2.

Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Number of pages: 26 Posted: 16 Apr 2012 Last Revised: 07 May 2012
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 456 (61,311)
Citation 1

Abstract:

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Market making, limit order book, pro-rata microstructure, inventory risk, marked point process, stochastic control

3.

Numerical Methods for an Optimal Order Execution Problem

Number of pages: 29 Posted: 05 Jun 2010
Fabien Guilbaud, Mohamed Mnif and Huyên Pham
Université Paris VII Denis Diderot, Ecole Nationale d'Ingénieurs de Tunis (ENIT) and Université Paris VII Denis Diderot
Downloads 200 (149,819)
Citation 1

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Optimal Liquidation, Impulse Control Problem, Quasi-Variational Inequality, Explicit Backward Scheme, Quantization Method, Viscosity Solutions

4.

Optimal High‐Frequency Trading in a Pro Rata Microstructure with Predictive Information

Mathematical Finance, Vol. 25, Issue 3, pp. 545-575, 2015
Number of pages: 31 Posted: 05 Jun 2015
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 0 (661,222)
Citation 12
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Abstract:

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market making, limit order book, pro rata microstructure, inventory risk, marked point process, stochastic control