2 papers
q-fin.MF2026
Optimal execution on Uniswap v2/v3 under transient price impact
Bastien Baude, Damien Challet, Ioane Muni Toke
We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient i…
math.ST2025
Deep learning of point processes for modeling high-frequency data
Yoshihiro Gyotoku, Ioane Muni Toke, Nakahiro Yoshida
We investigate applications of deep neural networks to a point process having an intensity with mixing covariates processes as input. Our generic model includes Cox-type models and…