2 citations · 6 across the 20 of their papers we have counts for
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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…
Information-Based Trading
George Bouzianis, Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make…