Bastien Baldacci is a PhD student at École Polytechnique, working on:
- Make-Take fees
- Dark/Lit Pools
- Optimal market making
With co-supervision by Dylan Possamaï (Columbia University)
He has a Master 2 degree (M2) in Probabilities and Finance from University Paris 6 and École Polytechnique (El Karoui master program), and an undergrad in Applied mathematics at Université Paris-Dauphine.
Bastien Baldacci and Iuliia Manziuk won Rising Star in Quant Finance – Risk Awards 2021: Rising stars in quant finance: Iuliia Manziuk and Bastien Baldacci
Papers:
- Optimal make take fees in a multi market maker environment with Dylan Possamaï and Mathieu Rosenbaum published on SIAM Journal on Financial Mathematics Volume 12, Issue 1
- Algorithmic market making for options with Philippe Bergault and Olivier Guéant (published in Quantitative Finance)
- How to design a derivatives market? with Paul Jusselin and Mathieu Rosenbaum
- Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach with Iuliia Manziuk, Thibaut Mastrolia and Mathieu Rosenbaum
- On bid and ask side-specific tick sizes with Philippe Bergault, Joffrey Derchu and Mathieu Rosenbaum
- A note on Almgren-Chriss optimal execution problem with geometric Brownian motion with Jerome Benveniste
- Adaptive trading strategies across liquidity pools with Iuliia Manziuk
- An approximate solution for options market-making in high dimension with Joffrey Derchu and Iuliia Manziuk
- Optimal trading without optimal control with Jerome Benveniste and Gordon Ritter
- High-frequency dynamics of the implied volatility surface
- Governmental incentives for green bonds investment