-
Notifications
You must be signed in to change notification settings - Fork 0
/
research.html
169 lines (125 loc) · 13.5 KB
/
research.html
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
<!DOCTYPE html>
<html lang="en">
<head>
<!-- Metadata for the Webpage -->
<meta charset="utf-8">
<meta http-equiv="X-UA-Compatible" content="IE=edge">
<meta name="viewport" content="width=device-width, initial-scale=1">
<title>Leandro Sánchez-Betancourt</title>
<!-- Favicons -- We recommend this site for generating favicons: https://www.favicon-generator.org/ -->
<link rel="apple-touch-icon" sizes="57x57" href="favicons/apple-icon-57x57.png">
<link rel="apple-touch-icon" sizes="60x60" href="favicons/apple-icon-60x60.png">
<link rel="apple-touch-icon" sizes="72x72" href="favicons/apple-icon-72x72.png">
<link rel="apple-touch-icon" sizes="76x76" href="favicons/apple-icon-76x76.png">
<link rel="apple-touch-icon" sizes="114x114" href="favicons/apple-icon-114x114.png">
<link rel="apple-touch-icon" sizes="120x120" href="favicons/apple-icon-120x120.png">
<link rel="apple-touch-icon" sizes="144x144" href="favicons/apple-icon-144x144.png">
<link rel="apple-touch-icon" sizes="152x152" href="favicons/apple-icon-152x152.png">
<link rel="apple-touch-icon" sizes="180x180" href="favicons/apple-icon-180x180.png">
<link rel="icon" type="image/png" sizes="192x192" href="favicons/android-icon-192x192.png">
<link rel="icon" type="image/png" sizes="32x32" href="favicons/favicon-32x32.png">
<link rel="icon" type="image/png" sizes="96x96" href="favicons/favicon-96x96.png">
<link rel="icon" type="image/png" sizes="16x16" href="favicons/favicon-16x16.png">
<meta name="msapplication-TileColor" content="#ffffff">
<meta name="msapplication-TileImage" content="favicons/ms-icon-144x144.png">
<meta name="theme-color" content="#ffffff">
<!-- Bootstrap CSS files-->
<link rel="stylesheet" href="https://stackpath.bootstrapcdn.com/bootstrap/3.4.1/css/bootstrap.min.css" integrity="sha384-HSMxcRTRxnN+Bdg0JdbxYKrThecOKuH5zCYotlSAcp1+c8xmyTe9GYg1l9a69psu" crossorigin="anonymous">
<!-- jQuery UI CSS (optional) -->
<link rel="stylesheet" href="https://ajax.googleapis.com/ajax/libs/jqueryui/1.12.1/themes/smoothness/jquery-ui.css">
<!-- Google web fonts -->
<link href="https://fonts.googleapis.com/css?family=Open+Sans:300,400,400i,600,700" rel="stylesheet">
<link href="https://fonts.googleapis.com/css?family=Montserrat:400,400i,500,500i,600" rel="stylesheet">
<!-- Font Awesome Web Icons -->
<link rel="stylesheet" href="https://use.fontawesome.com/releases/v5.8.1/css/all.css" integrity="sha384-50oBUHEmvpQ+1lW4y57PTFmhCaXp0ML5d60M1M7uH2+nqUivzIebhndOJK28anvf" crossorigin="anonymous">
<!-- Academicons Courtesy of https://jpswalsh.github.io/academicons/ -->
<link rel="stylesheet" href="https://cdn.rawgit.com/jpswalsh/academicons/master/css/academicons.min.css">
<!-- Local styles -->
<link rel="stylesheet" href="css/main.css">
</head>
<body>
<!-- navbar include -->
<div w3-include-html="navbar.html"></div>
<div class="spacer-div-3 hidden-xs hidden-xs"></div>
<!-- Main content -->
<div id="main-container" class="container">
<div class="row">
<div class="col-sm-12">
<h1>Research</h1>
<p>Here is a list of my latest research.</p>
<!-- Publication -->
<h3 class="push-down-4"><span>Research papers</span></h3>
<h5>Published/accepted journal papers</h5>
<ul>
<li>Cartea, Á., & Sánchez-Betancourt, L. (2024+). Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals. Forthcoming in <em><u>SIAM Journal on Financial Mathematics</u></em>. <a href="https://ssrn.com/abstract=4265814">Link</a>. </li>
<li>Cartea, Á., Cohen, S. N., Graumans, R., Labyad, S., Sánchez-Betancourt, L., & van Veldhuijzen, L. (2024). Statistical Predictions of Trading Strategies in Electronic Markets. <em><u>Journal of Financial Econometrics</u></em>, (nbae025), 1-64 <a href="https://ssrn.com/abstract=4442770">Link</a>. </li>
<li>Hughston, L. P., & Sánchez-Betancourt, L. (2024). Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement. <em><u>Journal of Physics A: Mathematical and Theoretical</u></em> <b>57</b> (28), 285302 <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4451933">Link</a>.
<li>Bouzianis, G., Hughston, L. P., & Sánchez-Betancourt, L. (2024). Information-based Trading. <em><u>International Journal of Theoretical and Applied Finance</u></em> <b>27</b> (3,4), 2350030:1-33. <a href="https://arxiv.org/abs/2201.08875">Link</a>.
<li>Jaimungal, S., Pesenti, S. M., & Sánchez-Betancourt, L. (2024). Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes. <em><u>SIAM Journal on Control and Optimization</u></em> <b>60</b> (2), 982-1005. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4149871">Link</a>. </li>
<li>Bellani, C., Brigo, D., Pakkanen, M. S., & Sánchez-Betancourt, L. (2023). Price Impact without Averaging. <em><u>Applied Mathematical Finance</u></em>, <b>30</b> (4), 175-206. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4012167">Link</a>. <a href="https://github.com/claudio-ICL/napiod">Code</a>. </li>
<li>Cartea, Á., & Sánchez-Betancourt, L. (2023). Optimal Execution with Stochastic Delay. <em><u>Finance and Stochastics</u></em> <b>27</b> (1), 1-47 <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3812324">Link</a>.
<li>Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2023). <em>Reinforcement Learning for Algorithmic Trading.</em> In <em><u>Machine Learning and Data Sciences for Financial Markets: A guide to contemporary practices</u></em>. Edited by C.-A. Lehalle and A. Capponi. Cambridge University Press. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3812473">Link</a>. </li>
<li>Cartea, Á., Perez Arribas, I., & Sánchez-Betancourt, L. (2022). Double-Execution Strategies using Path Signatures. <em><u>SIAM Journal on Financial Mathematics</u></em> <b>13</b> (4), 1379–1417 <a href="https://ssrn.com/abstract=3562251">Link</a>. <a href="https://github.com/imanolperez/optimal-double-execution">Code</a>. </li>
<li>Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Latency and Liquidity Risk. <em><u>International Journal of Theoretical and Applied Finance</u></em> <b>24</b> (06n07), 1-37. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3433739">Link</a>.</li>
<li>Forde, M., Sánchez-Betancourt, L., & Smith, B. (2021). Optimal Trade Execution for Gaussian Signals with Power-law Resilience. <em><u>Quantitative Finance</u></em>, <b>22</b> (3), 585-596. <a href="https://doi.org/10.1080/14697688.2021.1950919">Link</a>.</li>
<li>Bouzianis, G., Hughston, L. P., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Lévy-Ito Models in Finance. <em><u>Probability Surveys</u></em> <b>18</b>, 132-178. <a href="https://arxiv.org/abs/1907.08499">Link</a>.</li>
<li>Cartea, Á., & Sánchez-Betancourt, L. (2021). The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. <em><u>SIAM Journal on Financial Mathematics</u></em> <b>12</b> (1), 254-294. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3190961">Link</a>.</li>
<li>Hughston, L. P., & Sánchez-Betancourt, L. (2020). # with Variance Gamma Information. <em><u>Risks</u></em> <b>8</b> (4), 105. <a href="https://www.mdpi.com/2227-9091/8/4/105">Link</a></li>
</ul>
<h5>Conference/workshop papers</h5>
<ul>
<li>Kang, L., Cucuringu, M., Sánchez-Betancourt, L., & Willi T. (2024). Mixtures of Experts for Scaling up Neural Networks in Order Execution. <em><u>5th ACM International Conference on AI in Finance</u></em> (ICAIF), New York, USA, 2024. <a href="https://dl.acm.org/doi/10.1145/3677052.3698691">Link</a>. </li>
<li>Bogdan, A., Sánchez-Betancourt, L., Sarkadi, S., & Ventre C. (2024). Detecting Collective Liquidity Taking Distributions. <em><u>5th ACM International Conference on AI in Finance</u></em> (ICAIF), New York, USA, 2024. <a href="https://dl.acm.org/doi/10.1145/3677052.3698643">Link</a>. </li>
<li> Duran-Martin, G., Altamirano, M., Shestopaloff, A., Sánchez-Betancourt, L., Knoblauch, J., Jones, M., Briol, F-X., & Murphy, K. P. (2024). Outlier-robust Kalman Filtering through Generalised Bayes. Proceedings of the 41st <em><u>International Conference on Machine Learning</u></em> (ICML), Viena, Austria, 2024. <a href="https://arxiv.org/abs/2405.05646">Link</a>. </li>
<li>Jerome, J., Sánchez-Betancourt, L., Savani, R., & Herdegen, M. (2023). Model-based gym environments for limit order book trading. <em><u>4th ACM International Conference on AI in Finance</u></em> (ICAIF), New York, USA, 2023. <a href="https://arxiv.org/abs/2209.07823">Link</a>. <a href="https://github.com/JJJerome/mbt_gym">Code</a>. </li>
<li>Höglund, M., Ferrucci, E., Hernández, C., Muguruza Gonzalez, A., Salvi, C., Sánchez-Betancourt, L., & Zhang, Y. (2023). A Neural RDE approach for continuous-time non-Markovian stochastic control problems. Workshop on <em><u>New Frontiers in Learning, Control, and Dynamical Systems</u></em> at the <em><u>International Conference on Machine Learning</u></em> (ICML), Honolulu, Hawaii, USA, 2023. <a href="https://arxiv.org/abs/2306.14258">Link</a>. </li>
</ul>
<h5>Submitted for publication</h5>
<ul>
<li> Aqsha, A., Drissi, F., Sánchez-Betancourt, L. (2024). Strategic Learning and Trading in Broker-Mediated Markets. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5070540">Link</a>. </li>
<li>Cartea, Á., Drissi, F., Sánchez-Betancourt, L., Siska, D., & Szpruch, L. (2024). Strategic Bonding Curves in Automated Market Makers. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5018420">Link</a>. <a href="https://github.com/leandro-sbetancourt/amm_gym">Code</a>. </li>
<li> Duran-Martin, G., Sánchez-Betancourt, L., Shestopaloff, A., & Murphy, K. P. (2024). BONE: a unifying framework for Bayesian online learning in non-stationary environments. <a href="https://arxiv.org/abs/2411.10153">Link</a>. </li>
<li>Boyce, R., Herdegen, M., & Sánchez-Betancourt, L. (2024). Market Making with Exogenous Competition. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4904510">Link</a>. </li>
<li>Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2024). Nash Equilibrium between Brokers and Traders. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4894757">Link</a>. </li>
<li>Bergault P., & Sánchez-Betancourt, L. (2024). A Mean Field Game between Informed Traders and a Broker. <a href="https://ssrn.com/abstract=4691010">Link</a>. </li>
<li>Cohen, S. N., Sánchez-Betancourt, L., & Szpruch, L. (2023). The Economics of Interest Rate Models in Decentralised Lending Protocols. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4638390">Link</a>. </li>
</ul>
<h5>Working papers</h5>
<ul>
<li>Barucci, E., Mathieu, A., & Sánchez-Betancourt, L. (2025). Market Making with Fads, Informed, and Uninformed Traders. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5085589">Link</a>. </li>
<li>Cartea, Á., Duran-Martin, G., & Sánchez-Betancourt, L. (2023). Detecting Toxic Flow. <a href="https://ssrn.com/abstract=4597879">Link</a>. </li>
</ul>
<h5>DPhil Thesis</h5>
<ul>
<li>Sánchez-Betancourt, L. (2021). Uncertain Execution in Order-driven Markets. PhD Thesis, University of Oxford. <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3871298">Link</a>.</li>
</ul>
<h5>Working projects</h5>
<ul>
<li> There are a number of projects that I am pursuing in collaboration with other researchers. Some of the topics we are currently exploring are: (i) internalisation and externalisation of toxic flow, (ii) market simulators, (iii) classification of agents, and (iv) benchmarks for algorithmic trading strategies. If you are interested in collaborating please let me know. </li>
</ul>
</div>
</div>
</div>
<!-- Back-to-top button -->
<a role="button" id="topper" data-toggle="tooltip" data-placement="top" title="Top" class="btn scroll-link" href="#top"><i class="fa fa-fw fa-2x fa-caret-up" aria-hidden="true"></i></a>
<!-- footer include -->
<div w3-include-html="footer.html"></div>
<!-- jQuery -->
<script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script>
<!-- Bootstrap JS Library -->
<script src="https://stackpath.bootstrapcdn.com/bootstrap/3.4.1/js/bootstrap.min.js" integrity="sha384-aJ21OjlMXNL5UyIl/XNwTMqvzeRMZH2w8c5cRVpzpU8Y5bApTppSuUkhZXN0VxHd" crossorigin="anonymous"></script>
<!-- html file include script | used for navbar and footer -->
<script src="js/w3data.js"></script>
<script>
w3IncludeHTML()
</script>
<!-- Local scripts -->
<script src="js/main.js"></script>
<script>
$(document).ready(function() {
$("li#research a").addClass("active");
$("li#research a").addClass("hvr-bubble-bottom");
});
</script>
</body>
</html>