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Thibaut Mastrolia

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

Route de Saclay

Palaiseau, 91128

France

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

SCHOLARLY PAPERS

3

DOWNLOADS

588

TOTAL CITATIONS

5

Scholarly Papers (3)

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1.

Optimal Auction Duration: A Price Formation Viewpoint

Number of pages: 42 Posted: 28 Jun 2019
Paul Jusselin, Paul Jusselin, Thibaut Mastrolia and Mathieu Rosenbaum
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique and Université PSL
Downloads 248 (307,444)
Citation 1

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

2.

AHEAD: Ad Hoc Electronic Auction Design

Number of pages: 53 Posted: 28 Dec 2020
Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia and Mathieu Rosenbaum
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 Université PSL
Downloads 199 (386,064)
Citation 1

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

3.

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
École Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Université PSL and École Polytechnique, Paris
Downloads 141 (521,245)
Citation 3

Abstract:

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