Optimal maker-taker fees for a trading platform

Abstract

We consider an exchange who wants to define an optimal maker-taker policy. This means it is looking for the best way to reward liquidity provision and apply fees to market participants consuming liquidity. The goal is to... [ view full abstract ]

Authors

  1. Omar El Euch (Ecole Polytechnique)
  2. Thibaud Mastrolia (Ecole Polytechnique)
  3. Mathieu Rosenbaum (Ecole Polytechnique)

Topic Areas

Contract Theory , High-Frequency Trading

Session

WE-P-BU » Equilibria and Games (14:30 - Wednesday, 18th July, Burke Theater)

Presentation Files

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