Fayçal Drissi

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

11

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51

Scholarly Papers (11)

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1.

Decentralised Finance and Automated Market Making: Execution and Speculation

Number of pages: 41 Posted: 30 Jun 2022 Last Revised: 05 Jul 2024
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 5,225 (3,669)
Citation 11

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Decentralised finance, blockchains, automated market making, smart contracts, algorithmic trading, statistical arbitrage, predictive signals

2.

Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 37 Posted: 22 Nov 2022 Last Revised: 29 Jun 2024
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 1,964 (17,982)
Citation 18

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Decentralised finance, automated market making, concentrated liquidity, algorithmic trading, market making, stochastic control, predictable loss, impermanent loss, signals

3.

Bandits for Algorithmic Trading with Signals

Number of pages: 41 Posted: 28 Jun 2023
Álvaro Cartea, Fayçal Drissi and Pierre Osselin
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Machine Learning Research Group
Downloads 1,689 (22,709)
Citation 1

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Multi-task Gaussian processes, contextual bandits, nonstationary bandits, algorithmic trading, optimal execution, signals

4.

Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers

Number of pages: 15 Posted: 21 Mar 2023
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 1,586 (25,013)

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Decentralised finance, automated market making, algorithmic trading, statistical arbitrage, predictive signals, market impact, adaptive strategies, smart contracts

5.

Automated Market Makers Designs Beyond Constant Functions

Number of pages: 34 Posted: 25 May 2023 Last Revised: 17 Apr 2024
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 688 (81,007)
Citation 4

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs

6.

Models of Market Liquidity: Applications to Traditional Markets and Automated Market Makers

Number of pages: 170 Posted: 09 May 2023 Last Revised: 16 May 2023
Fayçal Drissi
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 617 (93,159)
Citation 2

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Optimal Execution, Market Making, Decentralised Finance, Automated Market Making, Algorithmic Trading, Statistical Arbitrage, Predictive Signals, Market Impact

7.

Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals

Applied Mathematical Finance, 29:6, 457-493, DOI: 10.1080/1350486X.2023.2241130
Number of pages: 37 Posted: 30 Dec 2022 Last Revised: 28 Oct 2023
Fayçal Drissi
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 451 (137,184)
Citation 8

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Riccati equations, algorithmic trading, signals, adaptive strategies, statistical arbitrage, market making, optimal execution

8.

Strategic Bonding Curves in Automated Market Makers

Number of pages: 40 Posted: 26 Nov 2024
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 438 (142,343)

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs, Uniswap v4, hooks

9.

Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets

Applied Mathematical Finance
Number of pages: 27 Posted: 15 Aug 2023 Last Revised: 28 Oct 2023
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 415 (151,127)
Citation 7

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Decentralised Finance, Automated Market Making, Smart Contracts, Concentrated Liquidity, Algorithmic Trading, Market Making, Predictable Loss, Impermanent Loss

10.

Multi-Asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics

SIAM Journal on Financial Mathematics, 2022, vol. 13, no 1, p. 353-390
Number of pages: 45 Posted: 09 Jan 2023
Philippe Bergault, Fayçal Drissi and Olivier Gueant
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), University of Oxford - Oxford-Man Institute of Quantitative Finance and Université Paris I Panthéon-Sorbonne
Downloads 276 (235,196)

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Optimal execution, Statistical arbitrage, Stochastic optimal control, Riccati equations

11.

Strategic Learning and Trading in Broker-Mediated Markets

Number of pages: 30 Posted: 10 Feb 2025
Alif Aqsha, Fayçal Drissi and Leandro Sánchez-Betancourt
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and Mathematical Institute, University of Oxford
Downloads 256 (253,946)

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