9 papers in the archive (2022–2026), average empirical rigor 4.7/10, average math complexity 7.8/10. Quadrant mix: Holy Grail ×5, Lab Rats ×4.
Works mostly in Market Microstructure, Crypto Markets & DeFi, Stochastic Control & Optimal Stopping, Options & Derivatives Pricing.
Frequent co-authors: Olivier Guéant (4), Leandro Sánchez-Betancourt (2), Sébastien Bieber (2), Louis Bertucci (1), David Bouba (1), Bastien Baldacci (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%).
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are exposed to impermanent loss (IL) due to price fluctuations. While existing work has focused on static provision and exogen
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic reduced-form model where an AMM operates in parallel with a centr
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount future cash flows, and price financial products. Yield curves,
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state spaces and the intricacies of selecting appropriate risk penalty
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and empirically. In particular, the concept of impermanent loss ha
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to choose the mean of the stochastic delay of their impulses, and
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
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift of the asset’s price, engages with traders whose trading acti
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such regulations by analysing the situation of two exchanges sharing