Ryan Francis Donnelly

King's College London

Strand

London, England WC2R 2LS

United Kingdom

  • King's College London

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 21,102

in Total Papers Citations

28

CROSSREF CITATIONS

20

Scholarly Papers (13)

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1.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 5,240 (2,544)
Citation 22

Abstract:

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order imbalance, algorithmic trading, high-frequency trading, order flow, market making, adverse selection

2.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 2,410 (9,254)
Citation 17

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market making, algorithmic trading, high frequency trading, robust optimization, ambiguity aversion, Knightian uncertainty, Poisson random measures, short term alpha, adverse selection

3.

Valuing GWBs with Stochastic Interest Rates and Volatility

Donnelly, Ryan Francis, Sebastian Jaimungal, and Dmitri Rubisov. "Valuing GWBs with stochastic interest rates and volatility." Quantitative Finance (2012).
Number of pages: 26 Posted: 14 Jan 2012 Last Revised: 27 Apr 2015
Ryan Francis Donnelly, Sebastian Jaimungal and Dmitri Rubisov
King's College London, University of Toronto - Department of Statistics and BMO Capital Markets
Downloads 466 (96,122)

Abstract:

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Insurance Guarantees, Withdrawal Benefits, Stochastic Volatility, Stochastic Interest Rates, ADI methods, Asian Options, Mixed Fund

4.

Optimal Decisions in a Time Priority Queue

Number of pages: 42 Posted: 06 Feb 2017
Ryan Francis Donnelly and Luhui Gan
King's College London and University of Toronto
Downloads 338 (138,639)
Citation 3

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algorithmic trading, high frequency trading, limit order book, queuing model, order flow, impulse control, adverse selection

5.

Ambiguity Aversion in Algorithmic and High Frequency Trading

Number of pages: 174 Posted: 21 Nov 2014
Ryan Francis Donnelly
King's College London
Downloads 326 (144,016)
Citation 1

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algorithmic trading, ambiguity aversion, stochastic control

6.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 315 (149,338)
Citation 2

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Optimal Execution, Ambiguity Aversion, Model Uncertainty, Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Robust Optimization

7.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Forthcoming in Mathematical Finance
Number of pages: 42 Posted: 27 Apr 2018 Last Revised: 15 Feb 2020
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 202 (231,531)
Citation 1

Abstract:

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algorithmic trading, hedging, price impact

8.

Exploratory Control with Tsallis Entropy for Latent Factor Models

Number of pages: 27 Posted: 22 Nov 2022
Ryan Francis Donnelly and Sebastian Jaimungal
King's College London and University of Toronto - Department of Statistics
Downloads 172 (266,665)

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stochastic control, exploratory control, entropy regularization, reinforcement learning

9.

Effort Expenditure for Cash Flow in a Mean-Field Equilibrium

International Journal of Theoretical & Applied Finance, Vol. 22, No. 04, 1950014, 2019
Number of pages: 22 Posted: 29 Aug 2018 Last Revised: 12 Nov 2019
Ryan Francis Donnelly and Tim Leung
King's College London and University of Washington - Department of Applied Math
Downloads 106 (387,321)

Abstract:

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real options, mean field games, equilibrium, optimal control

10.

Optimal Trading with Differing Trade Signals

Number of pages: 28 Posted: 16 Jul 2020 Last Revised: 12 Oct 2020
Ryan Francis Donnelly and Matthew Lorig
King's College London and University of Washington - Applied Mathematics
Downloads 82 (456,309)

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algorithmic trading, mean-field games

11.

Insider Trading with Temporary Price Impact

Number of pages: 35 Posted: 05 Sep 2020
Weston Barger and Ryan Francis Donnelly
University of Washington and King's College London
Downloads 68 (506,579)

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market microstructure, asymmetric information, price impact, transaction cost

12.

Optimal Execution: A Review

Number of pages: 39 Posted: 29 Dec 2022
Ryan Francis Donnelly
King's College London
Downloads 64 (526,871)

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algorithmic trading, price impact, stochastic optimization

13.

Dynamic Inventory Management with Mean-Field Competition

Number of pages: 34 Posted: 09 Nov 2022
Ryan Francis Donnelly and Zi Li
King's College London and King’s College London
Downloads 19 (786,308)

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mean-field game, dynamic pricing, optimal control