Thibaut Mastrolia

Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

3

DOWNLOADS

310

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Optimal Auction Duration: A Price Formation Viewpoint

Number of pages: 42 Posted: 28 Jun 2019
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique and Ecole Polytechnique, Palaiseau
Downloads 157 (258,083)
Citation 1

Abstract:

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Microstructure, Market Design, Auctions, Limit Order Book, Continuous Trading, Market Making, Nash Equilibrium, BSDES

2.

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 42 Posted: 22 May 2018 Last Revised: 27 Nov 2019
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum and Nizar Touzi
Ecole Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Paris
Downloads 93 (376,248)
Citation 3

Abstract:

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Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control

3.

AHEAD: Ad Hoc Electronic Auction Design

Number of pages: 53 Posted: 28 Dec 2020
Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, affiliation not provided to SSRN, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique and Ecole Polytechnique, Palaiseau
Downloads 60 (479,254)

Abstract:

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Market microstructure, market design, financial regulation, ad-hoc auctions, periodic auctions, limit order book, Nash equilibrium