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We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange.
Hamilton-Jacobi-Bellman equations and the optimal control of stochastic systems
P.-L. Lions · 1983
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Introduction to stochastic control of mixed diffusion processes, viscosity solutions and applications in finance and insurance
B. Bouchard · 2007
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High-frequency trading in a limit order book
M. Avellaneda and S. Stoikov · 2008
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A continuous-time version of the principal-agent problem
Y. Sannikov · 2008
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Price impact
J.-P. Bouchaud · 2010
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Optimal split of orders across liquidity pools: a stochastic algorithm approach
S. Laruelle, C.-A. Lehalle, and G. Pagès · 2011
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The short-term price impact of trades is universal
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A. Bachouch, C. Huré, N. Langrené, and H. Pham · 2018
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Dynamic programming approach to principal–agent problems
J. Cvitanić, D. Possamaï, and N. Touzi · 2018
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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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Solving high-dimensional partial differential equations using deep learning
J. Han, A. Jentzen, and E. Weinan · 2018
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Algorithmes probabilistes pour les équations de Hamilton-Jacobi-Bellman en dimension élevée
N. Langrené, C. Huré, H. Pham, and A. Bachouch
Cited in the paper.
B. Baldacci, D. Possamaï, and M. Rosenbaum · 2019
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