Optimal Make-Take Fees in a Multi Market-Maker Environment
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Publication:4988548
DOI10.1137/19M1277412zbMath1465.91105arXiv1907.11053MaRDI QIDQ4988548
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Publication date: 17 May 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.11053
stochastic controlcontract theoryprincipal-agent problemhigh-frequency tradingmarket makingfinancial regulationmake-take feesmultiagent problem
Related Items (6)
Cooperation between independent market makers ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ On Bid and Ask Side-Specific Tick Sizes ⋮ Principal-agent problem with multiple principals ⋮ Continuous-time incentives in hierarchies ⋮ An exit contract optimization problem
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