Optimal make–take fees for market making regulation

DOI10.1111/mafi.12295zbMath1522.91242arXiv1805.02741MaRDI QIDQ6078433

Thibaut Mastrolia, Omar El Euch, Nizar Touzi, Mathieu Rosenbaum

Publication date: 27 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.02741

zbMATH Keywords

stochastic controlprincipal-agent problemhigh-frequency tradingmarket makingfinancial regulationmake-take fees

Mathematics Subject Classification ID

Financial markets (91G15) Mechanism design theory (91B03) Principal-agent models (91B43)

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