Lukasz Szpruch

University of Edinburgh - School of Mathematics

James Clerk Maxwell Building

Peter Guthrie Tait Rd

Edinburgh, EH9 3FD

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

330

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

A Limit Order Book Model for Latency Arbitrage

Number of pages: 28 Posted: 21 Oct 2011
Samuel N. Cohen and Lukasz Szpruch
University of Oxford - Mathematical Institute and University of Edinburgh - School of Mathematics
Downloads 200 (175,007)
Citation 1

Abstract:

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limit order book, latency arbitrage, high-frequency trading, Tobin tax

2.

Conditional Sig-Wasserstein GANs for Time Series Generation

Number of pages: 32 Posted: 02 Jul 2020
University College London - Department of Mathematics, University of Edinburgh - School of Mathematics, University of Kaiserslautern - Department of Mathematics, University College London - Department of Mathematics and University College London - Department of Mathematics
Downloads 77 (356,522)

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Conditional Generative Adversarial Network, Neural Networks, Time Series, Rough Path Theory, Generative Modelling, Wasserstein Distance, Mathematical Finance, Signatures

3.

Robust Pricing and Hedging via Neural SDEs

Number of pages: 34 Posted: 05 Aug 2020
University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Imperial College London - Department of Mathematics
Downloads 53 (431,642)

Abstract:

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Stochastic Differential Equations, Deep Neural Network, Derivative Pricing, Stochastic Gradient Descent