Optimal make take fees in a multi market maker environment

@inproceedings{Baldacci2019OptimalMT,
  title={Optimal make take fees in a multi market maker environment},
  author={Bastien Baldacci and Dylan Possamai and Mathieu Rosenbaum},
  year={2019}
}
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent approach, where the agents (the market makers) optimise their quotes in a Nash equilibrium fashion, providing best response to the contract proposed by the principal (the exchange). This contract aims at attracting liquidity on the platform. This is because the… CONTINUE READING

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