6 papers in the archive (2025–2026), average empirical rigor 3.2/10, average math complexity 8.2/10. Quadrant mix: Lab Rats ×6.
Works mostly in Market Microstructure, Stochastic Control & Optimal Stopping, Risk Management & Tail Risk, High-Frequency Trading & Optimal Execution.
Frequent co-authors: Axel Ciceri (1), Robert Boyce (1), Eyal Neuman (1), Philippe Bergault (1), Olivier Guéant (1), Malo Lemmel (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management, or they may choose to adjust pricing to their external OTC fr
We study market making in aggregator-routed RFQ markets where platform routing depends on slowly varying dealer performance scores. We propose a two-tier stochastic control model that separates RFQ-level price competition from a macro routing layer: tier A represents aggregator flow whose opportunit
We study an OTC FX market-making problem, built on the Avellaneda-Stoikov tradition, in which a dealer streams size-dependent quotes on a discrete ladder and manages inventory risk over a finite horizon under Poisson arrivals of trade requests. Adverse selection is modelled through latency-driven pr
We study OTC bond market making on a size ladder with quadratic inventory penalty and a running target on the dealer’s size-weighted hit ratio within a stochastic optimal control approach. We demonstrate that the corresponding reduced Hamilton-Jacobi-Bellman (HJB) equation remains separable by duali
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from their electronic platforms. In parallel, building on the foundational work of Ho and Stoll, and later Avellaneda and Stoikov, the academic literature on market ma
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty but comes with transaction costs and market impact. Optimal