Research

Articles and preprints:

[26] Aïd, R., Bergault, P., & Rosenbaum, M. (2025). Optimal make-take fees in a shared order book. Working paper.

[25] Bergault, P., Bieber, S., & Sánchez-Betancourt, L. (2025). Optimal Exit Time for Liquidity Providers in Automated Market Makers. Working paper.

[24] Barzykin, A., Bergault, P., & Guéant, O. (2025). Optimal Quoting under Adverse Selection and Price Reading. Working paper.

[23] Campbell, S., Bergault, P., Millionis, J., & Nutz, M. (2025). Optimal Fees for Liquidity Provision in Automated Market Makers. Working paper.

[22] Bergault, P., Bieber, S., Guéant, O., & Zhang, W. (2025). Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market. Working paper.

[21] Bergault, P., Cardaliaguet, P., & Yan, W. (2025). Optimal hedging of an informed broker facing many traders. Submitted.

[20] Aqsha, A., Bergault, P., & Sánchez-Betancourt, L. (2025). Equilibrium Reward for Liquidity Providers in Automated Market Makers. Submitted.

[19] Bergault, P., Bodor, H., & Guéant, O. (2025). To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. Submitted.

[18] Bergault, P., & Cognéville, E. (2025). Simulating and analyzing a sparse order book: an application to intraday electricity markets. Submitted.

[17] Bergault, P., Bertucci, L., Bouba., D., Guéant, O., & Guilbert, J. (2025). Automated Market Making: the case of Pegged Assets. Submitted.

[16] Baldacci, B., Bergault, P., & Guéant, O. (2024). Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts. Risk.

[15] Barzykin, A., Bergault, P., & Guéant, O. (2024). Algorithmic Market Making in Spot Precious Metals. Risk.

[14] Bergault, P., & Sánchez-Betancourt, L. (2024). A mean field game between informed traders and a broker. SIAM Journal on Financial Mathematics.

[13] Bergault, P., & Guéant, O. (2023). Modeling liquidity in corporate bond markets: applications to price adjustment. Submitted.

[12] Bergault, P., Cardaliaguet, P., & Rainer, C. (2023). Mean Field Games in a Stackelberg problem with an informed major player. SIAM Journal on Control and Optimization.

[11] Bergault, P., Bertucci, L., Bouba., D., & Guéant, O. (2022). Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. Digital Finance.

[10] Barzykin, A., Bergault, P., & Guéant, O. (2022). Dealing with multi-currency inventory risk in FX cash markets. Risk.

[9] Baldacci, B., Bergault, P., & Possamai, D. (2022). A mean field game of market making against strategic traders. SIAM Journal on Financial Mathematics.

[8] Baldacci, B., & Bergault, P. (2021). Optimal incentives in a limit order book: a SPDE control approach. Market Microstructure and Liquidity.

[7] Bergault, P., Drissi, F., & Guéant, O. (2021). Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. SIAM Journal on Financial Mathematics.

[6] Barzykin, A., Bergault, P., & Guéant, O. (2021). Market making by a forex dealer. Risk.

[5] Barzykin, A., Bergault, P., & Guéant, O. (2021). Algorithmic market making in FX cash markets with hedging and market impact. Mathematical Finance.

[4] Bergault, P., Evangelista, D., Guéant, O., & Vieira, D. (2021). Closed-form approximations in multi-asset market making. Applied Mathematical Finance. 

[3] Baldacci, B., Bergault, P., Derchu, J., & Rosenbaum, M. (2020). On bid and ask side-specific tick sizes. SIAM Journal on Financial Mathematics.

[2] Baldacci, B., Bergault, P., & Guéant, O. (2019). Algorithmic market making for options. Quantitative Finance.

[1] Bergault, P., & Guéant, O. (2019). Size matters for OTC market makers: general results and dimensionality reduction techniques. Mathematical Finance.