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