This book exposes and comments on the consequences of Reg NMS and MiFID on market
microstructure. It covers changes in market design, electronic trading, and investor and …

L'objectif de ce travail de thèse est une étude quantitive des differents problèmes
mathematiques qui apparaissent en trading algorithmique. Concrètement, on propose une …

We make several improvements to the mean–variance framework for optimal pre-trade
algorithmic execution, by working with volume measures and generic price dynamics …

This PhD thesis focuses on the quantitative analysis of mathematical problems arising in the
field of optimal algorithmic trading. Concretely, we propose a scientific approach in order to …

This thesis proposes new methods and tools for helping human traders to compete in a
highfrequency trading environment. Human traders have difficulty trading against predatory …

Résumé Le processus de formation des prix est au coeur de tout modèles de
mathématiques financières. D'abord approximé par un mouvement brownien (cf.[Karatzas & …