Leandro Sánchez-Betancourt

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

  • University of Oxford

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

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 University of Oxford
Downloads 764 (37,221)
Citation 4

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

2.

Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning

Number of pages: 38 Posted: 20 Apr 2020
Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
University of Oxford, University of Oxford - Mathematical Institute and University of Oxford
Downloads 377 (90,676)
Citation 1

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

3.

Latency and Liquidity Risk

Number of pages: 29 Posted: 10 Aug 2019 Last Revised: 14 Aug 2019
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and University of Oxford
Downloads 293 (119,842)
Citation 1

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