Olivier Guéant : Citation Profile

Are you Olivier Guéant?

Université Paris 1 (Panthéon-Sorbonne)

10

H index

12

i10 index

434

Citations

RESEARCH PRODUCTION:

12

Articles

73

Papers

RESEARCH ACTIVITY:

   15 years (2009 - 2024). See details.
   Cites by year: 28
   Journals where Olivier Guéant has often published
   Relations with other researchers
   Recent citing documents: 77.    Total self citations: 10 (2.25 %)

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   Permalink: http://citec.repec.org/pgu842
   Updated: 2024-12-03    RAS profile: 2024-06-19    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Guéant.

Is cited by:

LEHALLE, Charles-Albert (25)

Siu, Tak Kuen (9)

Bayraktar, Erhan (3)

Gottardi, Piero (2)

Pelizzon, Loriana (2)

Drupp, Moritz (2)

Wolthoff, Ronald (2)

Gündüz, Yalin (2)

tolotti, marco (2)

Weill, Pierre-Olivier (2)

Chenavaz, Régis (2)

Cites to:

LEHALLE, Charles-Albert (14)

Farmer, J. (12)

Grossman, Sanford (9)

Le Fol, Gaelle (6)

Schied, Alexander (6)

McCulloch, James (4)

darolles, serge (4)

Gerig, Austin (3)

Foucault, Thierry (3)

Jarrow, Robert (3)

Mantegna, Rosario (3)

Main data

Where Olivier Guéant has published?

Journals with more than one article published# docs
Applied Mathematical Finance4
Mathematical Finance4
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL35
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL22
Working Papers / HAL12
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Olivier Guéant (2024 and 2023)

YearTitle of citing document
2023Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012.

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2023Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917.

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2024Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing. (2020). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:2005.04312.

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2023On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2023Mean Field Game of Optimal Relative Investment with Contagious Risk. (2021). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2108.00799.

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2023Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control. (2021). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2112.02269.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

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2023Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423.

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2023Dealing with multi-currency inventory risk in FX cash markets. (2022). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2207.04100.

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2023Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations. (2022). Balch, Tucker ; Zheng, Zeyu ; Xu, Mengda ; Vann, Jared ; Amrouni, Selim ; Spooner, Thomas ; Ganesh, Sumitra ; Ardon, Leo ; Vadori, Nelson ; Veloso, Manuela. In: Papers. RePEc:arx:papers:2210.07184.

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2023Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336.

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2023Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing. (2023). Pham, Huyen ; Henry-Labordere, Pierre ; Hamdouche, Mohamed. In: Papers. RePEc:arx:papers:2302.07320.

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2023Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis. (2023). Sun, Danny D ; Liu, Shuaiqiang ; Gong, Shiqi. In: Papers. RePEc:arx:papers:2306.02764.

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2023Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers. (2023). Zohren, Stefan ; Moreno-Pino, Fernando ; Cartea, Alvaro ; Arroyo, Alvaro. In: Papers. RePEc:arx:papers:2306.05479.

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2023Integrating Tick-level Data and Periodical Signal for High-frequency Market Making. (2023). Yang, Can ; Zheng, Cong. In: Papers. RePEc:arx:papers:2306.17179.

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2023Market Making of Options via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01814.

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2023Over-the-Counter Market Making via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01816.

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2024Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2023Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024.

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2023Reinforcement Learning for Credit Index Option Hedging. (2023). Vittori, Edoardo ; Trapletti, Michele ; Pinciroli, Marco ; Mandelli, Francesco. In: Papers. RePEc:arx:papers:2307.09844.

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2023Towards Generalizable Reinforcement Learning for Trade Execution. (2023). Zhao, LI ; Li, Jian ; Chen, Jianyu ; Duan, Yitong ; Zhang, Chuheng. In: Papers. RePEc:arx:papers:2307.11685.

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2024Understanding the least well-kept secret of high-frequency trading. (2023). Sfendourakis, Emmanouil ; Rosenbaum, Mathieu ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2307.15599.

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2023IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making. (2023). An, BO ; Guo, Jian ; Li, Jian ; Lin, Zhouchi ; Zheng, Jiahao ; Niu, Hui. In: Papers. RePEc:arx:papers:2308.08918.

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2024Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216.

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2024Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2309.08431.

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2023Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144.

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2024Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572.

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2024Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts. (2024). Gu, Olivier ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2404.13754.

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2024Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2405.03496.

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2023Utility?based pricing and hedging of contingent claims in Almgren?Chriss model with temporary price impact. (2022). Nadtochiy, Sergey ; Ekren, Ibrahim. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:172-225.

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2023Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503.

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2023A Leland model for delta hedging in central risk books. (2023). Webster, Kevin ; Wang, Zexin ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:504-547.

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2024High frequency market making: The role of speed. (2024). Salam, Mehmet ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000581.

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2023Operational research and artificial intelligence methods in banking. (2023). Zhang, Wenke ; Platanakis, Emmanouil ; Gounopoulos, Dimitrios ; Zopounidis, Constantin ; Doumpos, Michalis. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:1-16.

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2023Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control. (2023). Acharya, Dipesh ; Mizukami, Daiki ; Nakagawa, Kei ; Kubo, Kenji. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000132.

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2024Execution uncertainty of dark pools and portfolio balance. (2024). Li, Tangrong ; Sun, Xuchu ; Zhu, Jianchang. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003064.

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2024Simultaneous Search and Adverse Selection. (2024). Wolthoff, Ronald ; Gottardi, Piero ; Auster, Sarah. In: IZA Discussion Papers. RePEc:iza:izadps:dp16822.

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2023Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4.

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2023Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9.

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2023A Dual Probabilistic Discounting Approach to Assess Economic and Environmental Impacts. (2023). Ulgiati, Sergio ; Ghisellini, Patrizia ; Maselli, Gabriella ; Nestico, Antonio. In: Environmental & Resource Economics. RePEc:kap:enreec:v:85:y:2023:i:1:d:10.1007_s10640-023-00766-6.

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2023Optimal execution with stochastic delay. (2023). Sanchez-Betancourt, Leandro ; Cartea, Alvaro. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00491-w.

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2023Optimal execution with multiplicative price impact and incomplete information on the return. (2023). Ferrari, Giorgio ; Dammann, Felix. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00508-y.

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2023Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z.

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2023A discrete-time optimal execution problem with market prices subject to random environments. (2023). Pacheco, Carlos G ; Jasso-Fuentes, Hector ; Salgado-Suarez, Gladys D. In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:topjnl:v:31:y:2023:i:3:d:10.1007_s11750-022-00652-2.

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Works by Olivier Guéant:

YearTitleTypeCited
2012Ecological Intuition versus Economic “Reason” In: Journal of Public Economic Theory.
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2012Ecological intuition versus economic reason.(2012) In: Post-Print.
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2012Ecological intuition versus economic reason.(2012) In: PSE-Ecole d'économie de Paris (Postprint).
[Citation analysis]
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2009Ecological intuition versus economic reason.(2009) In: PSE Working Papers.
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2009Ecological intuition versus economic reason.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 9		paper
2015GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION In: Mathematical Finance.
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2015General Intensity Shapes in Optimal Liquidation.(2015) In: Post-Print.
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This paper has nother version. Agregated cites: 31		paper
2017OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT In: Mathematical Finance.
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2015Option pricing and hedging with execution costs and market impact.(2015) In: Post-Print.
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This paper has nother version. Agregated cites: 20		paper
2021Size matters for OTC market makers: General results and dimensionality reduction techniques In: Mathematical Finance.
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2020Size matters for OTC market makers: general results and dimensionality reduction techniques.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Size matters for OTC market makers: General results and dimensionality reduction techniques.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
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2021Size matters for OTC market makers: General results and dimensionality reduction techniques.(2021) In: Post-Print.
[Citation analysis]
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2021Size matters for OTC market makers: General results and dimensionality reduction techniques.(2021) In: Post-Print.
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2020Size matters for OTC market makers: general results and dimensionality reduction techniques.(2020) In: Working Papers.
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2023Algorithmic market making in dealer markets with hedging and market impact In: Mathematical Finance.
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2022Algorithmic market making in dealer markets with hedging and market impact.(2022) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2022Algorithmic market making in dealer markets with hedging and market impact.(2022) In: Post-Print.
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2022Algorithmic market making in dealer markets with hedging and market impact.(2022) In: Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2015Agents Behavior on Multi-Dealer-to-Client Bond Trading Platforms In: Working Papers.
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2016The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms In: Working Papers.
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2016The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 10		paper
2016The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2016The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms.(2016) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2017Optimal market making In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper14
2017Optimal market making.(2017) In: Post-Print.
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2016Optimal market making.(2016) In: Working Papers.
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2017Optimal market making.(2017) In: Applied Mathematical Finance.
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2017Optimal execution of accelerated share repurchase contracts with fixed notional In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Optimal execution of accelerated share repurchase contracts with fixed notional.(2017) In: Post-Print.
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2017Optimal execution of accelerated share repurchase contracts with fixed notional.(2017) In: Post-Print.
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2018Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2018Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
2018Expected Shortfall and optimal hedging payoff In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2018Expected Shortfall and optimal hedging payoff.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
2020Accelerated Share Repurchase and other buyback programs: what neural networks can bring In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2020Accelerated share repurchase and other buyback programs: what neural networks can bring.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 6		paper
2020Accelerated share repurchase and other buyback programs: what neural networks can bring.(2020) In: Post-Print.
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2020Accelerated Share Repurchase and other buyback programs: what neural networks can bring.(2020) In: Working Papers.
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2020Accelerated share repurchase and other buyback programs: what neural networks can bring.(2020) In: Quantitative Finance.
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2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper7
2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty.(2019) In: Post-Print.
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2019Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper26
2019Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality.(2019) In: Post-Print.
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2019Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality.(2019) In: Applied Mathematical Finance.
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2021Algorithmic market making for options In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper6
2021Algorithmic market making for options.(2021) In: Post-Print.
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2021Algorithmic market making for options.(2021) In: Quantitative Finance.
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2020Optimal control on graphs: existence, uniqueness, and long-term behavior In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2020Optimal control on graphs: existence, uniqueness, and long-term behavior.(2020) In: Post-Print.
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2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics.(2022) In: Post-Print.
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This paper has nother version. Agregated cites: 6		paper
2021Closed-form Approximations in Multi-asset Market Making In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Closed-form Approximations in Multi-asset Market Making.(2021) In: Post-Print.
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2021Closed-form Approximations in Multi-asset Market Making.(2021) In: Applied Mathematical Finance.
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2022Stochastic Algorithms for Advanced Risk Budgeting In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2022Stochastic Algorithms for Advanced Risk Budgeting.(2022) In: Working Papers.
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2022Dealing with multi-currency inventory risk in FX cash markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper2
2022Dealing with multi-currency inventory risk in FX cash markets.(2022) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2022Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control.(2022) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control.(2022) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2024Algorithmic Market Making in Spot Precious Metals In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper1
2024Factor Risk Budgeting and Beyond In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Tournament-induced risk-shifting: A mean field games approach In: Post-Print.
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2011Mean Field Games and Applications In: Post-Print.
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2010Mean Field Games and Oil Production In: Post-Print.
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2013Dealing with the Inventory Risk. A solution to the market making problem In: Post-Print.
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2012Optimal Portfolio Liquidation with Limit Orders In: Post-Print.
[Citation analysis]		paper67
2015Optimal execution and block trade pricing: a general framework In: Post-Print.
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2015Optimal Execution and Block Trade Pricing: A General Framework.(2015) In: Applied Mathematical Finance.
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2014Execution and block trade pricing with optimal constant rate of participation In: Post-Print.
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2014VWAP execution and guaranteed VWAP In: Post-Print.
[Citation analysis]		paper5
2015Accelerated Share Repurchase: pricing and execution strategy In: Post-Print.
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2015ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015A convex duality method for optimal liquidation with participation constraints In: Post-Print.
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2016The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making In: Post-Print.
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2021Algorithmic market making for options In: Post-Print.
[Citation analysis]		paper4
2023Risk Budgeting portfolios: Existence and computation In: Post-Print.
[Citation analysis]		paper0
2023Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions In: Post-Print.
[Citation analysis]		paper1
2023Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions.(2023) In: Working Papers.
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2022Computational methods for market making algorithms In: Post-Print.
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2023Reinforcement Learning for Algorithmic Trading In: Post-Print.
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2016Optimal execution of ASR contracts with fixed notional In: Working Papers.
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