Leandro Sánchez-Betancourt

King’s College London

Strand

London, England WC2R 2LS

United Kingdom

  • King’s College London

SCHOLARLY PAPERS

9

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Top 12,858

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5,862

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (9)

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1.

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 King’s College London
Downloads 1,938 (12,862)

Abstract:

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

2.

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 King’s College London
Downloads 974 (35,926)
Citation 5

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

3.

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 King’s College London
Downloads 926 (38,603)
Citation 2

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

4.

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

Number of pages: 25 Posted: 15 Nov 2022 Last Revised: 12 Dec 2022
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and King’s College London
Downloads 690 (57,381)

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

5.

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 King’s College London
Downloads 459 (95,537)
Citation 1

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

6.

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 King’s College London
Downloads 399 (112,492)

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

7.

Uncertain Execution in Order-Driven Markets

Number of pages: 162 Posted: 06 Jul 2021
Leandro Sánchez-Betancourt
King’s College London
Downloads 196 (232,348)

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

8.

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 King’s College London
Downloads 174 (257,926)

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

9.

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 King’s College London
Downloads 106 (377,980)

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market microstructure, price impact, Hawkes processes