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Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform.
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Y. Sannikov · 2008
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O. Guéant · 2016
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Optimal make–take fees for market making regulation
O. El Euch, T. Mastrolia, M. Rosenbaum, and N. Touzi · 2018
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From glosten-milgrom to the whole limit order book and applications to financial regulation
W. Huang, M. Rosenbaum, and P. Saliba · 2019
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From asymptotic properties of general point processes to the ranking of financial agents
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O. Mounjid, M. Rosenbaum, and P. Saliba · 2019
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