Follow
Leandro Sánchez-Betancourt
Leandro Sánchez-Betancourt
Other namesLeandro Sanchez-Betancourt
Mathematical Institute, and Oxford-Man Institute, University of Oxford
Verified email at maths.ox.ac.uk - Homepage
Title
Cited by
Cited by
Year
Double-Execution Strategies using Path Signatures
Á Cartea, IP Arribas, L Sánchez-Betancourt
SIAM Journal on Financial Mathematics 13 (4), 1379-1417, 2022
36*2022
Optimal execution with stochastic delay
Á Cartea, L Sánchez-Betancourt
Finance and Stochastics 27 (1), 1-47, 2023
292023
Optimal trade execution for Gaussian signals with power-law resilience
M Forde, L Sánchez-Betancourt, B Smith
Quantitative Finance 22 (3), 585-596, 2022
282022
The shadow price of latency: Improving intraday fill ratios in foreign exchange markets
Á Cartea, L Sánchez-Betancourt
SIAM Journal on Financial Mathematics 12 (1), 254-294, 2021
272021
Reinforcement Learning for Algorithmic Trading
Á Cartea, S Jaimungal, L Sánchez-Betancourt
Machine Learning and Data Sciences for Financial Markets: A Guide to …, 2023
24*2023
Latency and Liquidity Risk
Á Cartea, S Jaimungal, L Sánchez-Betancourt
International Journal of Theoretical and Applied Finance 24 (06n07), 2150035, 2021
172021
Automated Market Makers Designs Beyond Constant Functions
Á Cartea, F Drissi, L Sánchez-Betancourt, D Siska, L Szpruch
Available at SSRN 4459177, 2023
132023
Mbt-gym: Reinforcement learning for model-based limit order book trading
J Jerome, L Sánchez-Betancourt, R Savani, M Herdegen
Proceedings of the Fourth ACM International Conference on AI in Finance, 619-627, 2023
10*2023
Brokers and informed traders: dealing with toxic flow and extracting trading signals
Á Cartea, L Sánchez-Betancourt
Available at SSRN 4265814, 2022
92022
Statistical predictions of trading strategies in electronic markets
Á Cartea, SN Cohen, R Graumans, S Labyad, L Sánchez-Betancourt, ...
Journal of Financial Econometrics, nbae025, 2024
82024
Lévy-Ito Models in Finance
G Bouzianis, LP Hughston, S Jaimungal, L Sánchez-Betancourt
Probability Surveys 18, 132-178, 2021
82021
Outlier-robust Kalman Filtering through Generalised Bayes
G Duran-Martin, M Altamirano, AY Shestopaloff, L Sánchez-Betancourt, ...
arXiv preprint arXiv:2405.05646, 2024
72024
The Economics of Interest Rate Models in Decentralised Lending Protocols
SN Cohen, L Sánchez-Betancourt, L Szpruch
Available at SSRN, 2023
62023
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
S Jaimungal, SM Pesenti, L Sánchez-Betancourt
SIAM Journal on Control and Optimization 62 (2), 982-1005, 2024
52024
Detecting Toxic Flow
Á Cartea, G Duran-Martin, L Sánchez-Betancourt
arXiv preprint arXiv:2312.05827, 2023
52023
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
M Hoglund, E Ferrucci, C Hernández, AM Gonzalez, C Salvi, ...
arXiv preprint arXiv:2306.14258, 2023
52023
A Mean Field Game between Informed Traders and a Broker
P Bergault, L Sánchez-Betancourt
arXiv preprint arXiv:2401.05257, 2024
42024
Information-Based Trading
G Bouzianis, LP Hughston, L Sánchez-Betancourt
arXiv preprint arXiv:2201.08875, 2022
22022
Pricing with Variance Gamma Information
LP Hughston, L Sánchez-Betancourt
Risks 8 (4), 105, 2020
22020
Market Making with Exogenous Competition
R Boyce, M Herdegen, L Sánchez-Betancourt
arXiv preprint arXiv:2407.17393, 2024
12024
The system can't perform the operation now. Try again later.
Articles 1–20