We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices are stable under the demand pr...
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator exhibits a smoothly decaying form with one or two dominant time scales, but only so after a f...
Money market structures shape monetary policy design, but the way central banks perform their operations also has an impact on the evolution of money markets. This is important, because microeconomic differences in the way the same macroeconomic policy is implemented may be non-neutral. In this paper, we take a panel approach in order to investigat...
Many axiomatic characterizations of values for cooperative games invoke axioms which evaluate the consequences of removing an arbitrary player. Balanced contributions (Myerson, 1980) and balanced cycle contributions (Kamijo and Kongo, 2010) are two well-known examples of such axioms. We revisit these characterizations by nullifying a player instead...
Ce travail dresse un bilan sur la situation des TPE en Haïti et propose une analyse succincte de l’impact des instruments économiques, règlementaires et technologique au développement économique et à la protection de l’environnement. Les discussions menées ont permis de découvrir que l’application de ces instruments est une perspective d’améliorati...
Deux résultats ressortent de l’analyse théorique du lien Transport-tourisme via un modèle de coordination des capacités : l’expression et les déterminants des capacités et des profits optimaux relatifs du Transport et du Tourisme. L’article démontre que le rapport des capacités optimales de transport et de tourisme dépend du ratio comparatif de leu...
Two major findings emerge from the theoretical analysis of Transport-Tourism link via a game theory type model of capacity coordination. Firstly the model explains the optimal capacities ratio of Transport and Tourism by the quotient of the ratio of tourism type (ratio of the length of stay in the destination and of transport duration) divided by t...
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online estimation of the market impacts generated by robots or single orders, and how they/the controller should react in an optimal way to the informations generated by the obser...
Aquaculture is contributing at an increasing rate to world seafood supply. The interaction between fisheries and aquaculture is especially important for the seafood market where supply of wild and farmed fish can affect price dynamics. We examine market interactions in the French fresh sea bass and sea bream markets. We test for long term price par...
Published in Finance and Stochastics
We study a linear price impact model, including other liquidity takers, whose flow of orders is driven by a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-form optimal strategy describes in particular how one should react to the orders of other traders. This result enables us to discuss the viabil...
