Calendar

Fév
24
ven
Research Seminar Labex ReFi -The Behavior of Dealers and Clients on the European Corporate Bond Market: the Case of Multi-Dealer-to-Client Platforms, with Olivier Guéant, Université Paris 1 Panthéon Sorbonne
Fév 24 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

Olivier Guéant

(CV & Bio here)

Université Paris 1 Panthéon Sorbonne

will present

The Behavior of Dealers and Clients on the European Corporate
Bond Market: the Case of Multi-Dealer-to-Client Platforms

Abstract :

For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven (i.e., dealer-driven) rather than order-driven, the market for corporate bonds is still mainly dominated by voice trading, but a lot of electronic platforms have emerged. These electronic platforms make it possible for buy-side agents to simultaneously request several dealers for quotes, or even directly trade with other buy-siders. The research presented in this talk is based on a large proprietary database of requests for quotes (RFQ) sent, through the multi-dealer-to-client (MD2C) platform operated by Bloomberg Fixed Income Trading, to one of the major liquidity providers in European corporate bonds. Our goal is (i) to model the RFQ process on these platforms and the resulting competition between dealers, and (ii) to use our model in order to implicit from the RFQ database the behavior of both dealers and clients on MD2C platforms.

 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
Room 4310
Feb 24, 2017
 
For security reason, please register before the deadline.
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

 Abstract 

Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They need indeed to propose bid and offer/ask prices in an optimal way for making money out of the difference between these two prices (their bid-ask spread). Since they seldom buy and sell simultaneously, and therefore hold long or short inventories, they also need to mitigate the risk associated with price changes, and subsequently skew their quotes dynamically. In this paper, (i) we propose a general modeling framework which generalizes (and reconciles)thevariousmodelingapproachesproposedintheliteraturesincethepublication of the seminal paper “High-frequency trading in a limit order book” by Avellaneda and Stoikov, (ii) we prove new general results on the existence and the characterization of optimal market making strategies, (iii) we obtain new closed-form approximations for the optimal quotes, (iv) we extend the modeling framework to the case of multi-asset market making, and (v) we show how the model can be used in practice in the specific (and original) case of two credit indices.

 

 (Past and coming events)
Fév
28
mar
Matinale Labex ReFi & EIFR – BÂLE III ET SOLVABILITÉ 2 : DES SIMILITUDES MAIS AUSSI DE PROFONDES DIFFÉRENCES Avec BERNARD DELAS, ACPR
Fév 28 @ 8 h 30 min – 10 h 00 min

# Logo Labex # SIG_Investissements_Davenir   Logo-EIFR

BÂLE III ET SOLVABILITÉ 2 : DES SIMILITUDES MAIS AUSSI DE PROFONDES DIFFÉRENCES

 

Ces réformes prudentielles ont toutes les deux pour objectif de mieux proportionner les exigences de capital imposées par le régulateur aux risques auxquels banquiers et assureurs sont exposés. Mais il existe de grandes différences entre elles : si Bâle 3 est une réponse à la crise de 2008, Solvabilité 2, (travaux préparatoires initiés en 2000)  répondait à un souci de modernisation de Solvabilité 1 devenu obsolète. Si Bale 3 s’est traduit par une forte augmentation des exigences de capital, Solvabilité 2 n’a pas eu, dans l’ensemble, cet effet pour les assureurs. Seront ainsi abordés les thèmes suivants: différences entre métiers de banquier et d’assureur, caractéristiques  des marchés européens  banque et assurance, rôle du MSU sans équivalent dans l’assurance (supervision relevant des seules autorités nationales), utilisation des modèles internes, désignation des assureurs systémique mondiaux, l’international capital standard (ICS)…etc.

Bernard Delas est vice-président de l’ACPR, membre du Conseil général de la Banque de France et membre du Haut Conseil pour la Stabilité Financière (HCSF).Il a effectué l’essentiel de son parcours professionnel dans l’assurance et occupé successivement les fonctions de DG de Groupama, de CNP Assurances International et  de Crédit Agricole Assurances International. Il a également été président de la FFSAM et vice-président de la FFSA.

 

 

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Dans l’attente de vous rencontrer,

EQUIPE EIFR
European Institute of Financial Regulation (EIFR)
Palais Brongniart
28 place de la Bourse
75002 PARIS
Tél: +33 (0) 1 70 98 06 53

contact@eifr.eu
Mar
2
jeu
Research Seminar, FinTech – High-frequency trading: modelling and regulatory issues, with Charles Albert Lehalle
Mar 2 @ 17 h 00 min – 19 h 00 min

Dear friends and colleagues,

We are pleased to invite you to the first workshop organized by the group of the LabEx ReFi « Fintech and Financial regulation » on the subject of HIGH FREQUENCY TRADING

HIGH FREQUENCY TRADING

Organizers

Olivier Guéant (University Paris 1) and Dominique Guégan (University Paris 1, Labex ReFi)

Date: March 2, 2017 Time: 17h-19h.

Place: Maison des Sciences Economiques,

106 Bd de l’Hôpital, 75013 Paris

Room 116

Charles Albert Lehalle

CV & Bio (here)

CFM and Imperial College

1- A quantitative perspective on high-frequency trading.

2- Mean field game of controls and an application to trade crowding.

Consult the paper here

Abstract

1) It will be a survey on the main mathematical and regulatory problems related to High-frequency trading 2) In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a  » background noise  » (or  » mean field « ). In standard frameworks, the interactions between the large trader and the price are a temporary and a permanent market impact terms, the latter influencing the public price. In this paper the trader faces the uncertainty of fair price changes too but not only. He has to deal with price changes generated by other similar market participants, impacting the prices permanently too, and acting strategically. Our MFG formulation of this problem belongs to the class of  » extended MFG « , we hence provide generic results to address these  » MFG of controls « , before solving the one generated by the cost function of optimal trading. We provide a closed form formula of its solution, and address the case of  » heterogenous preferences  » (when each participant has a different risk aversion). Last but not least we give conditions under which participants do not need to instantaneously know the state of the whole system, but can  » learn  » it day after day, observing others’ behaviors.

The « High-Frequency Trading: Modelling and Regulatory Issues » seminar is a monthly seminar created and organized by Pr. Roland Gillet (Paris 1), Pr. Olivier Guéant (Paris 1), and Pr. Dominique Guégan (Paris 1). The objective of the seminar is to introduce and develop discussions about high-frequency trading. We are interested in promoting discussions between researchers and practitioners, and about banking regulation and supervision. An important part will be dedicated to modeling and technical issues. This seminar is dedicated to junior and senior researchers, practitioners from banks and other financial institutions, as well as regulators.

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