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Optimal market making with persistent order flow
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows.
How to design a derivatives market?
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity.
Optimal auction duration: A price formation viewpoint
We compute the optimal duration of the auctions for 77 stocks traded on Euronext and compare the quality of price formation process under this optimal value to the case of a continuous limit order book.
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