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

  • Mathematical Institute, University of Oxford

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

SCHOLARLY PAPERS

23

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TOTAL CITATIONS
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Top 29,951

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29

Scholarly Papers (23)

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1.

Statistical Predictions of Trading Strategies in Electronic Markets

Forthcoming in Journal of Financial Econometrics
Number of pages: 60 Posted: 12 May 2023 Last Revised: 21 Sep 2024
Álvaro Cartea, Samuel N. Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt and Leon van Veldhuijzen
University of Oxford, University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative Finance, affiliation not provided to SSRN, Mathematical Institute, University of Oxford and Autoriteit Financiële Markten (AFM)
Downloads 4,301 (5,112)
Citation 1

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agent-based models, algorithmic trading, limit order book, supervision, statistical prediction

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 4,000 (5,730)
Citation 5

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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

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 22 Posted: 15 Nov 2022 Last Revised: 19 Dec 2024
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 2,465 (12,429)
Citation 3

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

4.

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 1,333 (32,411)

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

5.

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 1,219 (36,885)
Citation 2

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

6.

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 1,148 (40,319)
Citation 5

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

7.

Nash Equilibrium between Brokers and Traders

Number of pages: 24 Posted: 18 Jul 2024
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 1,115 (42,134)

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Informed traders, Noise traders, Brokers, internalisation, externalisation, Nash equilibrium, FBSDEs

8.

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 (81,040)
Citation 4

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

9.

A Mean Field Game between Informed Traders and a Broker

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 26 Posted: 05 Feb 2024 Last Revised: 29 Jan 2025
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 682 (81,927)

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

10.

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 636 (89,674)
Citation 7

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

11.

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 575 (101,963)

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

12.

Uncertain Execution in Order-Driven Markets

Number of pages: 162 Posted: 06 Jul 2021
Leandro Sánchez-Betancourt
Mathematical Institute, University of Oxford
Downloads 544 (109,249)

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

13.

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 (142,060)

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

14.

Market Making with Fads, Informed, and Uninformed Traders

Number of pages: 49 Posted: 14 Feb 2025 Last Revised: 17 Feb 2025
Emilio Barucci, Adrien Mathieu and Leandro Sánchez-Betancourt
Politecnico di Milano - Department of Mathematics, University of Oxford and Mathematical Institute, University of Oxford
Downloads 417 (150,397)

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market making, signals, informed traders, noise trading, stochastic filtering, spread, fad

15.

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 414 (151,598)
Citation 1

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

16.

Market Making with Exogenous Competition

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 14 Posted: 07 Aug 2024 Last Revised: 28 Mar 2025
Robert Boyce, Martin Herdegen and Leandro Sánchez-Betancourt
Imperial College London, University of Warwick - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 373 (170,418)

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market making, competition, liquidity provision, missed trades, algorithmic trading

17.

A Simple Strategy to Deal with Toxic Flow

Number of pages: 13
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 269

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

18.

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 (254,077)

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19.

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 188 (341,347)
Citation 1

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

20.

Adaptive-Robust Portfolio Optimisation

Number of pages: 30 Posted: 13 Feb 2025
Theerawat Bhudisaksang, Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford - Mathematical Institute, University of Oxford and Mathematical Institute, University of Oxford
Downloads 179 (356,895)

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adaptive-robust control, model uncertainty, stochastic control, time-consistency, dynamic programming, online learning, algorithmic trading

21.

Equilibrium Reward for Liquidity Providers in Automated Market Makers

Number of pages: 31
Alif Aqsha, Philippe Bergault and Leandro Sánchez-Betancourt
University of Oxford - Oxford-Man Institute of Quantitative Finance, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Mathematical Institute, University of Oxford
Downloads 149

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automated market makers, design, fees, leader-follower games, Stackelberg equilibrium, optimal contract, noise trading, arbitrageurs, principal agent

22.

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 136 (449,309)

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market microstructure, price impact, Hawkes processes

23.

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 90 (607,277)

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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.