2 citations · 6 across the 20 of their papers we have counts for
29 papers
When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
David Itkin, Leandro Sánchez-Betancourt
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate. We study this phenomenon when trading generates price impact and exe…
SAiFE-gym: Model-based Environments for Automated Market Making with Concentrated Liquidity
Georgios Chionas, Charalampos Kleitsikas, Stefanos Leonardos +2
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liqui…
Concentrated Liquidity Provision: a Reinforcement Learning Perspective
Georgios Chionas, Charalampos Kleitsikas, Stefanos Leonardos +2
Automated market makers (AMMs) are a cornerstone of decentralised finance (DeFi). Constant product markets with concentrated liquidity, such as UniswapV3, are now a well-establishe…
Doubly Outlier-Robust Online Infinite Hidden Markov Model
Horace Yiu, Leandro Sánchez-Betancourt, Álvaro Cartea +1
We derive a robust update rule for the online infinite hidden Markov model (iHMM) for when the streaming data contains outliers and the model is misspecified. Leveraging recent adv…
Competition between DEXs through Dynamic Fees
Leonardo Baggiani, Martin Herdegen, Leandro Sanchez-Betancourt
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibriu…
Solving Linear-Quadratic Stochastic Control Problems with Signatures
Alif Aqsha, Peter Bank, Leandro Sánchez-Betancourt
We study a signature-driven numerical scheme to solve multi-dimensional linear-quadratic (LQ) stochastic control problems. Using that linear signature functionals are dense in the…
Trading in CEXs and DEXs with Priority Fees and Stochastic Delays
Philippe Bergault, Yadh Hafsi, Leandro Sánchez-Betancourt
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impul…
Optimal Exit Time for Liquidity Providers in Automated Market Makers
Philippe Bergault, Sébastien Bieber, Leandro Sánchez-Betancourt
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are ex…
Martingale Posterior Neural Networks for Fast Sequential Decision Making
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Álvaro Cartea +1
We introduce scalable algorithms for online learning of neural network parameters and Bayesian sequential decision making. Unlike classical Bayesian neural networks, which induce p…
Optimal Dynamic Fees in Automated Market Makers
Leonardo Baggiani, Martin Herdegen, Leandro Sánchez-Betancourt
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We…
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Alif Aqsha, Philippe Bergault, Leandro Sánchez-Betancourt
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by…
A Simple Strategy to Deal with Toxic Flow
Álvaro Cartea, Leandro Sánchez-Betancourt
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal d…
Market Making with Fads, Informed, and Uninformed Traders
Emilio Barucci, Adrien Mathieu, Leandro Sánchez-Betancourt
We characterise the solution to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibi…
Strategic Learning and Trading in Broker-Mediated Markets
Alif Aqsha, Fayçal Drissi, Leandro Sánchez-Betancourt
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader an…
A unifying framework for generalised Bayesian online learning in non-stationary environments
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Alexander Y. Shestopaloff +1
We propose a unifying framework for methods that perform probabilistic online learning in non-stationary environments. We call the framework BONE, which stands for generalised (B)a…
Market Making with Exogenous Competition
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competi…
Nash Equilibrium between Brokers and Traders
Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchang…
Outlier-robust Kalman Filtering through Generalised Bayes
Gerardo Duran-Martin, Matias Altamirano, Alexander Y. Shestopaloff +5
We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models.…
A Mean Field Game between Informed Traders and a Broker
Philippe Bergault, Leandro Sánchez-Betancourt
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal…
Detecting Toxic Flow
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
This paper develops a framework to predict toxic trades that a broker receives from her clients. Toxic trades are predicted with a novel online learning Bayesian method which we ca…
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
Melker Hoglund, Emilio Ferrucci, Camilo Hernandez +4
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morri…
Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement
Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a rational agent who at time enters into a financial contract for which the payout is determined by a quantum measurement at some time . The state of the quant…
Model-based gym environments for limit order book trading
Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani +1
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution…
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such th…