Optimal Make-Take Fees in a Multi Market-Maker Environment

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

zbMATH Keywords

stochastic controlcontract theoryprincipal-agent problemhigh-frequency tradingmarket makingfinancial regulationmake-take feesmultiagent problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15) Principal-agent models (91B43)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Dealing with the inventory risk: a solution to the market making problem
• Optimal Novikov-type criteria for local martingales with jumps
• A Closed-Form Execution Strategy to Target Volume Weighted Average Price
• High-frequency trading in a limit order book
• Relation between bid–ask spread, impact and volatility in order-driven markets
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Contracting Theory with Competitive Interacting Agents

This page was built for publication: Optimal Make-Take Fees in a Multi Market-Maker Environment