Mathieu is one of the chief editors of Market Microstructure and Liquidity, a journal created from the strong belief that a deep understanding of market microstructure requires academic and practitioner approaches to the topic to be brought together.
Issues:
Volume: 01, Number: 01 (June 2015):
- Exact and Asymptotic Solutions of the Call Auction Problem
Ioane Muni Toke
https://doi.org/10.1142/S238262661550001X - A Convex Duality Method for Optimal Liquidation with Participation Constraints
Olivier Guéant, Jean-Michel Lasry, Jiang Pu
https://doi.org/10.1142/S2382626615500021 - Large Tick Assets: Implicit Spread and Optimal Tick Size
Khalil Dayri, Mathieu Rosenbaum
https://doi.org/10.1142/S2382626615500033 - Hawkes Processes in Finance
Emmanuel Bacry, Iacopo Mastromatteo, Jean-François Muzy
https://doi.org/10.1142/S2382626615500057 - A Stochastic Control Approach to Option Market Making
Sofiene El Aoud, Frédéric Abergel
https://doi.org/10.1142/S2382626615500069
Volume: 01, Number: 02 (December 2015):
- Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
Elia Zarinelli, Michele Treccani, J. Doyne Farmer, Fabrizio Lillo
https://doi.org/10.1142/S2382626615500045 - Slow Decay of Impact in Equity Markets
X. Brokmann, E. Sérié, J. Kockelkoren, J.-P. Bouchaud
https://doi.org/10.1142/S2382626615500070 - A Million Metaorder Analysis of Market Impact on the Bitcoin
J. Donier, J. Bonart
https://doi.org/10.1142/S2382626615500082 - Market Impacts and the Life Cycle of Investors Orders
Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier, Charles-Albert Lehalle
https://doi.org/10.1142/S2382626615500094 - Liquidity and Impact in Fair Markets
Thibault Jaisson
https://doi.org/10.1142/S2382626615500100
Volume: 02, Number: 01 (June 2016):
- The Long Memory of Order Flow in the Foreign Exchange Spot Market
Martin D. Gould, Mason A. Porter, Sam D. Howison
https://doi.org/10.1142/S2382626616500015 - Option Hedging with Smooth Market Impact
Robert Almgren, Tianhui Michael Li
https://doi.org/10.1142/S2382626616500027 - High-Frequency Trading Meets Online Learning
Joaquin Fernandez-Tapia
https://doi.org/10.1142/S2382626616500039 - High Frequency Asymptotics for the Limit Order Book
Peter Lakner, Josh Reed, Sasha Stoikov
https://doi.org/10.1142/S2382626616500040
Volume: 02, Number: 02 (September 2016):
- Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
Martin D. Gould, Julius Bonart
https://doi.org/10.1142/S2382626616500064 - Reconstruction of Order Flows using Aggregated Data
Ioane Muni Toke
https://doi.org/10.1142/S2382626616500076 - A Reduced-Form Model for Level-1 Limit Order Books
Tzu-Wei Yang, Lingjiong Zhu
https://doi.org/10.1142/S2382626616500088 - Extension and Calibration of a Hawkes-Based Optimal Execution Model
Aurélien Alfonsi, Pierre Blanc
https://doi.org/10.1142/S2382626616500052
Volume: 02, Number: 03n04 (December 2016):
- Unravelling the Trading Invariance Hypothesis
Michael Benzaquen, Jonathan Donier, Jean-Philippe Bouchaud
https://doi.org/10.1142/S238262661650009X - How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
https://doi.org/10.1142/S2382626617500010 - Optimal Trading with Online Parameter Revisions
N. Baradel, B. Bouchard, N. M. Dang
https://doi.org/10.1142/S2382626617500034 - The Behavior of Dealers and Clients on the European Corporate Bond Market: The Case of Multi-Dealer-to-Client Platforms
Jean-David Fermanian, Olivier Guéant, Jiang Pu
https://doi.org/10.1142/S2382626617500046 - Are High-Frequency Traders Anticipating the Order Flow? Cross-Venue Evidence from the UK Market
Matteo Aquilina, Carla Ysusi
https://doi.org/10.1142/S2382626617500058 - On Optimal Options Book Execution Strategies with Market Impact
Aymeric Kalife, Saad Mouti
https://doi.org/10.1142/S2382626617500022
Volume: 03, Number: 01 (March 2017):
- High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
Erhan Bayraktar, Alexander Munk
https://doi.org/10.1142/S238262661750006X - The Benefits of Resiliency to Standard Market Impact Models
Paul Besson, Matthieu Lasnier
https://doi.org/10.1142/S2382626617500071 - Optimal Execution with Transient Impact
Ngoc-Minh Dang
https://doi.org/10.1142/S2382626617500083 - Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Charles-Albert Lehalle, Othmane Mounjid
https://doi.org/10.1142/S2382626617500095