108 citations · 131 across the 9 of their papers we have counts for
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math.PR2011★ 1 cited
On Markovian solutions to Markov Chain BSDEs
Samuel N. Cohen, Lukasz Szpruch
We study (backward) stochastic differential equations with noise coming from a finite state Markov chain. We show that, for the solutions of these equations to be `Markovian', in t…
q-fin.TR2011
A limit order book model for latency arbitrage
Samuel N. Cohen, Lukasz Szpruch
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor…