Research

Publications

Peer-Reviewed

• Mean Field Game Approach to Bitcoin Mining (updated: 2024) (with Charles Bertucci, Jean-Michel Lasry and Pierre-Louis Lions) -- SIAM Journal on Financial Mathematics -- Forthcoming 

• Bitcoin Ordinals: Determinants and Impact on Total Transaction Fees -- Research in International Business and Finance, 2024

• Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions (with Philippe Bergault, David Bouba and Olivier Guéant) -- Digital Finance, 2023

• (in FRENCH) Enjeux et promesses des stablecoins décentralisés (with Sébastien Choukroun and Julien Prat) -- Revue d'Economie Financière, 2023, Vol. 149, No.1, p73-90. 

Conference Proceedings

• Incentives on the Lightning Network: A Blockchain-based Payment Network -- Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC

Working Papers

• Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity (updated: May 2024) (with Philippe Bergault, David Bouba and Olivier Guéant)

• Agents' Behavior and Interest Rate Model Optimization in Defi Lending (updated: April 2024) (with Charles Bertucci, Mathis Gontier Delaunay, Olivier Guéant and Matthieu Lesbre)

• Blockchain Initiatives Dynamics Regarding The Sustainable Development Goals (updated: September 2023) (with Jacques-André Fines Schlumberger)

• How Resilient if the Bitcoin Protocol ? (updated: May 2022) (with Charles Bertucci, Jean-Michel Lasry and Pierre-Louis Lions) - Best Paper Award (Runner up) at the 4th UWA Blockchain and Cryptocurrency Conference - Best Paper Award  at the AFFI annual meeting 2022 - Best Paper Award (sponsored by Research in International Business and Finance) at the Cryptocurrency Research Conference 2022 - A previous version of this paper circulated under the name "Economic Modelling of the Bitcoin Mining Industry".

• Deep Learning in Finance: From Implementation to Regulation (updated: April 2022) (with Marie Brière, Olivier Fliche, Joseph Mikael, and Lukasz Szpruch)

• Where do Blockchains Fit in the History of Financial Institutions? (updated: April 2020)

• Policy Making with Hidden Information and Continuous-Time Learning (coming soon) (with Charles Bertucci)

• Variation Margins, Liquidity Management and Clearing Structure (coming soon)

Work in progress

MFG Approach to Bitcoin Mining : Numerical estimation

Green Bitcoin Mining

Optimal Design of Automated Market Makers

Interest Rate Modelling in Decentralized Lending Platforms 

Reports and other documents

A Retail CBDC in Europe: The Current Situation and Challenges (2023) - Rapporteur (Editor in Chief)

The monetary and payment environment is swiftly evolving, and most central banks are exploring the concept of a retail central bank digital currency (CBDC) as a response to the decreased use of cash and possibly to the emergence of so-called “stablecoins”. This Debate Paper attempts to give an overall view of some fundamental issues for a wide range of players and concludes with possible scenarios for the digital euro and stablecoins. It emphasizes that a digital euro seems to be more driven by strategic objectives – sovereignty notably – than by actual use cases which are not already covered by existing payment solutions.

A Hitchhiker's Guide to Decentralized Finance (2022) - Editor in Chief

Decentralized Finance (DeFi) is a major innovation trend that is shaking the FinTech world. DeFi refers to a universe of financial applications that rely on blockchain technology to achieve decentralization. In other words, DeFi applications allow their users to perform traditional financial operations without relying on intermediaries, which are instead crucial in traditional, Centralized Finance. This outlook provides an overview of the technological stacks upon which DeFi is built and discuss the emerging trends that are shaping this new industry.

FaIR Advances Report (2021) - Editor in Chief

Analyse the impact of new technologies such as Deep Learning, Blockchain and Robo Advisors on the financial and insurance landscape. Articulated around 3 chapters, this report provides scientific contribution from top researcher affiliated to the FaIR program as well as excerpt from FaIR's round tables.

Zero-Knowledge : trust and privacy on an industrial scale (2021) - Editorial Assistance

This outlook explores the notion of Zero-Knowledge proofs which is an amazing and super counter-intuitive technology allowing a user to prove a statement about "something" without revealing any details of this “something“. This report does a very good job explaining what it can bring to blockchains (hint : scalability).