Leandro Sánchez-Betancourt

Mathematical Institute, University of Oxford

Andrew Wiles Building

Woodstock Road

Oxford, Oxfordshire OX2 6GG

United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
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15,351

SSRN CITATIONS
Rank 36,747

SSRN RANKINGS

Top 36,747

in Total Papers Citations

21

CROSSREF CITATIONS

6

Scholarly Papers (15)

1.

Statistical Predictions of Trading Strategies in Electronic Markets

Number of pages: 59 Posted: 12 May 2023 Last Revised: 23 Feb 2024
University of Oxford, University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Mathematical Institute, Mathematical Institute, University of Oxford and Autoriteit Financiële Markten (AFM)
Downloads 3,572 (6,089)
Citation 1

Abstract:

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trading behaviour, proprietary trading data, limit order books, machine learning, statistical models

2.

Deep Reinforcement Learning for Algorithmic Trading

Number of pages: 24 Posted: 10 Apr 2021
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 3,294 (6,961)
Citation 5

Abstract:

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reinforcement learning, machine learning, algorithmic trading, foreign exchange, triplets

3.

Brokers and Informed Traders: Dealing With Toxic Flow and Extracting Trading Signals

Number of pages: 22 Posted: 15 Nov 2022 Last Revised: 09 May 2024
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 1,972 (15,628)
Citation 1

Abstract:

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Informed trading, toxic flow, noise trading, intermediaries, hedging, brokers, trading signal

4.

Optimal Execution of Foreign Securities: A Double-Execution Problem

Number of pages: 38 Posted: 20 Apr 2020 Last Revised: 13 Dec 2021
Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
University of Oxford, University of Oxford - Mathematical Institute and Mathematical Institute, University of Oxford
Downloads 1,118 (36,784)
Citation 2

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Optimal execution, price impact, machine learning, high-frequency trading, signatures, cryptocurrency, illiquidity

5.

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets

SIAM Journal on Financial Mathematics
Number of pages: 39 Posted: 18 Jun 2018 Last Revised: 26 Oct 2020
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 1,103 (37,397)
Citation 5

Abstract:

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latency, fill ratio, high-frequency trading, algorithmic trading

6.

Detecting Toxic Flow

Number of pages: 27 Posted: 07 Nov 2023 Last Revised: 07 Dec 2023
Álvaro Cartea, Gerardo Duran-Martin and Leandro Sánchez-Betancourt
University of Oxford, Queen Mary University of London and Mathematical Institute, University of Oxford
Downloads 960 (45,605)

Abstract:

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online learning, Bayesian neural networks, Kalman filtering, toxic flow, algorithmic trading

7.

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 634 (79,095)
Citation 2

Abstract:

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

8.

Latency and Liquidity Risk

Number of pages: 33 Posted: 10 Aug 2019 Last Revised: 13 Oct 2021
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 563 (91,833)
Citation 4

Abstract:

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Marked point processes, high-frequency trading, algorithmic trading, latency, forward-backward stochastic differential equations

9.

A Mean Field Game between Informed Traders and a Broker

Number of pages: 23 Posted: 05 Feb 2024
Philippe Bergault and Leandro Sánchez-Betancourt
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Mathematical Institute, University of Oxford
Downloads 519 (101,699)

Abstract:

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market making, algorithmic trading, externalisation, internalisation, mean field games

10.

Optimal Execution with Stochastic Delay

Finance and Stochastics, Forthcoming
Number of pages: 36 Posted: 26 Mar 2021 Last Revised: 08 Jul 2022
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 518 (101,941)

Abstract:

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algorithmic trading, high-frequency trading, impulse control, stochastic delay, deterministic delay, latency, fill ratio

11.

Uncertain Execution in Order-Driven Markets

Number of pages: 162 Posted: 06 Jul 2021
Leandro Sánchez-Betancourt
Mathematical Institute, University of Oxford
Downloads 463 (116,671)

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algorithmic trading, mathematical finance, fill ratios, latency, uncertain execution, marketable limit orders

12.

The Economics of Interest Rate Models in Decentralised Lending Protocols

Number of pages: 21 Posted: 01 Dec 2023
Samuel N. Cohen, Leandro Sánchez-Betancourt and Lukasz Szpruch
University of Oxford - Mathematical Institute, Mathematical Institute, University of Oxford and University of Edinburgh - School of Mathematics
Downloads 271 (209,770)
Citation 1

Abstract:

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decentralised lending protocols, interest rate models, utilisation, PID controller

13.

Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes

Number of pages: 33 Posted: 18 Jul 2022 Last Revised: 03 Aug 2022
Sebastian Jaimungal, Silvana M. Pesenti and Leandro Sánchez-Betancourt
University of Toronto - Department of Statistics, University of Toronto and Mathematical Institute, University of Oxford
Downloads 184 (302,501)

Abstract:

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Relative entropy, Kullback-Leibler, Levy-Ito processes, Reverse sensitivity, Risk Management, Model Uncertainty, Cryptocurrency

14.

Non-average price impact in order-driven markets

Number of pages: 29 Posted: 20 Jan 2022
Claudio Bellani, Damiano Brigo, Mikko Pakkanen and Leandro Sánchez-Betancourt
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Mathematical Institute, University of Oxford
Downloads 116 (439,658)

Abstract:

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market microstructure, price impact, Hawkes processes

15.

Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement

Number of pages: 21 Posted: 23 May 2023
Lane Hughston and Leandro Sánchez-Betancourt
Goldsmiths University of London and Mathematical Institute, University of Oxford
Downloads 64 (635,522)

Abstract:

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Quantum mechanics, quantum measurement, contingent claims, discount bonds, absence of arbitrage, rate of return, density matrices, Gleason's theorem, Kochen-Specker theorem.