2 citations · 6 across the 20 of their papers we have counts for
6 papers · 1 filter
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…