Olivier Guéant : Citation Profile

Université Paris 1 (Panthéon-Sorbonne)

11

H index

13

i10 index

490

Citations

RESEARCH PRODUCTION:

14

Articles

73

Papers

RESEARCH ACTIVITY:

   15 years (2009 - 2024). See details.
   Cites by year: 32
   Journals where Olivier Guéant has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 11 (2.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu842
   Updated: 2025-12-20    RAS profile: 2024-06-19    
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Relations with other researchers

Works with:

Fermanian, Jean-David (2)

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)

Challet, Damien (3)

Bayraktar, Erhan (3)

Gündüz, Yalin (2)

Weill, Pierre-Olivier (2)

Drupp, Moritz (2)

Tebaldi, Claudio (2)

tolotti, marco (2)

Pelizzon, Loriana (2)

Chenavaz, Régis (2)

Cites to:

LEHALLE, Charles-Albert (14)

Farmer, J. (12)

Grossman, Sanford (9)

Schied, Alexander (6)

Le Fol, Gaelle (6)

darolles, serge (4)

McCulloch, James (4)

Gerig, Austin (3)

Schöneborn, Torsten (3)

Jarrow, Robert (3)

Kulchania, Manoj (3)

Main data

Where Olivier Guéant has published?

Journals with more than one article published# docs
Mathematical Finance5
Applied 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 (2025 and 2024)

YearTitle of citing document
2024Utility maximization under endogenous pricing. (2024). Nguyen, Thai ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2005.04312.

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2025Dynamic Inventory Management with Mean-Field Competition. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2210.17208.

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2025Option Market Making via Reinforcement Learning. (2025). Fang, Zhou ; Xu, Haiqing. In: Papers. RePEc:arx:papers:2307.01814.

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2025Decentralised Finance and Automated Market Making: Execution and Speculation. (2024). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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

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2024Liquidity Dynamics in RFQ Markets and Impact on Pricing. (2024). Bergault, Philippe ; Gu, Olivier. In: Papers. RePEc:arx:papers:2309.04216.

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

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2025Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144.

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2024A Mean Field Game between Informed Traders and a Broker. (2024). Bergault, Philippe. In: Papers. RePEc:arx:papers:2401.05257.

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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). Bergault, Philippe ; Gu, Olivier ; 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). Bergault, Philippe ; Gu, Olivier ; Bertucci, Louis ; Guilbert, Julien ; Bouba, David. In: Papers. RePEc:arx:papers:2405.03496.

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2024Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos. (2024). Zhang, YI ; Jos'e E. Figueroa-L'opez, ; Ch, Jonathan ; Yu, Chuyi. In: Papers. RePEc:arx:papers:2405.11444.

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2024Stock Volume Forecasting with Advanced Information by Conditional Variational Auto-Encoder. (2024). Yang, Parley R ; Shestopaloff, Alexander Y. In: Papers. RePEc:arx:papers:2406.19414.

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2024Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510.

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2024Unified Approach for Hedging Impermanent Loss of Liquidity Provision. (2024). Lucic, Vladimir ; Sepp, Artur ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2407.05146.

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2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

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2024Market Making with Exogenous Competition. (2024). Boyce, Robert ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2407.17393.

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2024Reinforcement Learning in High-frequency Market Making. (2024). Ding, Zihan ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.21025.

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2025Consistent time travel for realistic interactions with historical data: reinforcement learning for market making. (2025). Challet, Damien ; Ragel, Vincent. In: Papers. RePEc:arx:papers:2408.02322.

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2025Optimal stopping and divestment timing under scenario ambiguity and learning. (2024). Tankov, Peter ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:2408.09349.

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2024Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505.

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2025Logarithmic regret in the ergodic Avellaneda-Stoikov market making model. (2024). Treetanthiploet, Tanut ; Szpruch, Lukasz ; Cao, Jialun ; Vsivska, David. In: Papers. RePEc:arx:papers:2409.02025.

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2024Reinforcement Learning in Non-Markov Market-Making. (2024). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2410.14504.

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2025Multi-Task Dynamic Pricing in Credit Market with Contextual Information. (2024). Xu, Renyuan ; Ji, Jingwei ; Javanmard, Adel. In: Papers. RePEc:arx:papers:2410.14839.

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2024Automated Market Making: the case of Pegged Assets. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2411.08145.

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2024Mirror Descent Algorithms for Risk Budgeting Portfolios. (2024). Frikha, Noufel ; Cetingoz, Adil Rengim ; Iglesias, Martin Arnaiz. In: Papers. RePEc:arx:papers:2411.12323.

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2024Ergodic optimal liquidations in DeFi. (2024). Vsivska, David ; Cao, Jialun. In: Papers. RePEc:arx:papers:2411.19637.

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2024A theory of passive market impact. (2024). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani. In: Papers. RePEc:arx:papers:2412.07461.

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2024Strategic Learning and Trading in Broker-Mediated Markets. (2024). Aqsha, Alif ; Drissi, Fayccal. In: Papers. RePEc:arx:papers:2412.20847.

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2025Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658.

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2025Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets. (2025). Xu, Tianrui ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:2501.12591.

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2025High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process. (2025). Toke, Ioane Muni ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2502.04027.

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2025Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making. (2025). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2502.17417.

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2025Optimal risk-aware interest rates for decentralized lending protocols. (2025). Toke, Ioane Muni ; Challet, Damien ; Baude, Bastien. In: Papers. RePEc:arx:papers:2502.19862.

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2025Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A bond market study. (2025). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2503.00320.

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2025To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2503.02496.

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2025Liquidity Competition Between Brokers and an Informed Trader. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2503.08287.

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2025A Simple Strategy to Deal with Toxic Flow. (2025). , Leandro ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2503.18005.

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2025Equilibrium Reward for Liquidity Providers in Automated Market Makers. (2025). , Leandro ; Bergault, Philippe ; Aqsha, Alif. In: Papers. RePEc:arx:papers:2503.22502.

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2025The effect of latency on optimal order execution policy. (2025). Smith, Paul ; Saggese, Giacinto Paolo ; Ma, Chutian. In: Papers. RePEc:arx:papers:2504.00846.

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2025Optimal Dynamic Fees in Automated Market Makers. (2025). Herdegen, Martin ; Baggiani, Leonardo. In: Papers. RePEc:arx:papers:2506.02869.

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2025Optimal hedging of an informed broker facing many traders. (2025). Bergault, Philippe ; Cardaliaguet, Pierre ; Yan, Wenbin. In: Papers. RePEc:arx:papers:2506.08992.

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2025Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control. (2025). Blanchet, Jose ; Cheng, Jiayi ; Liu, Hao. In: Papers. RePEc:arx:papers:2506.19294.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Performative Market Making. (2025). Kleitsikas, Charalampos ; Leonardos, Stefanos ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2508.04344.

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2025Optimal Fees for Liquidity Provision in Automated Market Makers. (2025). Milionis, Jason ; Bergault, Philippe ; Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2508.08152.

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2025Robust Market Making: To Quote, or not To Quote. (2025). Wang, Ziyi ; Ventre, Carmine ; Polukarov, Maria. In: Papers. RePEc:arx:papers:2508.16588.

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2025ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility. (2025). Ventre, Carmine ; Wang, Ziyi ; Polukarov, Maria. In: Papers. RePEc:arx:papers:2508.16589.

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2025Optimal Quoting under Adverse Selection and Price Reading. (2025). Barzykin, Alexander ; Gu, Olivier ; Bergault, Philippe ; Lemmel, Malo. In: Papers. RePEc:arx:papers:2508.20225.

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2025Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools. (2025). Mastrolia, Thibaut ; Wang, Hao. In: Papers. RePEc:arx:papers:2509.03916.

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2025Optimal Exit Time for Liquidity Providers in Automated Market Makers. (2025). Bergault, Philippe ; Bieber, S'Ebastien. In: Papers. RePEc:arx:papers:2509.06510.

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2025Competition and Incentives in a Shared Order Book. (2025). Ren'e A"id, ; Bergault, Philippe ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2509.10094.

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2025FinFlowRL: An Imitation-Reinforcement Learning Framework for Adaptive Stochastic Control in Finance. (2025). Chen, Zhi ; Li, Yang ; Zhang, Ruixun ; Yang, Steve Y. In: Papers. RePEc:arx:papers:2509.17964.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2025FinFlowRL: An Imitation-Reinforcement Learning Framework for Adaptive Stochastic Control in Finance. (2025). Li, Yang ; Chen, Zhi. In: Papers. RePEc:arx:papers:2510.15883.

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2025Decentralised finance and automated market making: Execution and speculation. (2025). Cartea, Lvaro ; Drissi, Fayal ; Monga, Marcello. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001009.

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

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

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2025Bayesian adaptive portfolio optimization for DC pension plans. (2025). Liang, Xiaoqing ; Guo, Junyi ; Gao, Shuping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:262-274.

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2025Efficient and proper generalised linear models with power link functions. (2025). Zhou, Feng ; Chen, Ziwei ; Badescu, Alexandru ; Asimit, Vali. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:91-118.

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2025Bi-Level Game-Theoretic Bidding Strategy for Large-Scale Renewable Energy Generators Participating in the Energy–Frequency Regulation Market. (2025). Gao, Bingtuan ; Hui, Shuyan ; Liu, Xiaofeng. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:10:p:2604-:d:1658292.

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2025Sophisticated Capital Budgeting Decisions for Financial Performance and Risk Management—A Tale of Two Business Entities. (2025). Ali, Qaisar ; Parveen, Shazia ; Darmansyah, Asep. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:6:p:297-:d:1667720.

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2025Deep Learning Strategies for Intraday Optimal Carbon Options Trading with Price Impact Considerations. (2025). Lai, Qianhui ; Yang, Qiang. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1035-:d:1618273.

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2025Understanding the worst-kept secret of high-frequency trading. (2025). Pulido, Sergio ; Sfendourakis, Emmanouil ; Rosenbaum, Mathieu. In: Post-Print. RePEc:hal:journl:hal-04362236.

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2024Introduction to the special issue FAEREin its teens. (2024). Ricci, Francesco ; Linnemer, Laurent. In: Post-Print. RePEc:hal:journl:hal-04926394.

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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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2024Optimal order execution under price impact: a hybrid model. (2024). Giacinto, Marina ; Wang, Tai-Ho ; Tebaldi, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05082-8.

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2024Optimal trade execution in cryptocurrency markets. (2024). Bundi, Nils ; Khashanah, Khaldoun ; Wei, Ching-Lin. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00103-y.

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2025Equilibria in the Large-Scale Competition for Market Share in a Commodity with Resource-Buying. (2025). Ambrose, David M ; Brown, Luke C. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:15:y:2025:i:1:d:10.1007_s13235-024-00563-w.

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2024Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. (2024). Horst, Ulrich ; Kivman, Evgueni. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00536-2.

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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).
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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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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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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.
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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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2024Risk Budgeting portfolios: Existence and computation In: Mathematical Finance.
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2023Risk Budgeting portfolios: Existence and computation.(2023) In: Post-Print.
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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: 11		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.
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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: Working Papers.
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2017Optimal market making In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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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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2018Expected Shortfall and optimal hedging payoff In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2018Expected Shortfall and optimal hedging payoff.(2018) In: Post-Print.
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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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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).
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2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty.(2019) In: Post-Print.
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This paper has nother version. Agregated cites: 9		paper
2019Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015Optimal Execution and Block Trade Pricing: A General Framework.(2015) In: Applied Mathematical Finance.
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2023Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions.(2023) In: Working Papers.
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