Lukasz Szpruch

University of Edinburgh - School of Mathematics

James Clerk Maxwell Building

Peter Guthrie Tait Rd

Edinburgh, EH9 3FD

United Kingdom

The Alan Turing Institute

British Library, 96 Euston Road

96 Euston Road

London, NW12DB

United Kingdom

Simtopia

United Kingdom

http://https://www.simtopia.ai

  • University of Edinburgh - School of Mathematics

  • The Alan Turing Institute

  • Simtopia

SCHOLARLY PAPERS

14

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10,382

TOTAL CITATIONS
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Top 33,785

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76

Scholarly Papers (14)

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1.

Towards Algorithm Auditing: A Survey on Managing Legal, Ethical and Technological Risks of AI, ML and Associated Algorithms

Number of pages: 31 Posted: 15 Feb 2021
Adriano Koshiyama, Emre Kazim, Philip Treleaven, Pete Rai, Lukasz Szpruch, Giles Pavey, Ghazi Ahamat, Franziska Leutner, Randy Goebel, Andrew Knight, Janet Adams, Christina Hitrova, Jeremy Barnett, Parashkev Nachev, David Barber, Tomas Chamorro-Premuzic, Konstantin Klemmer, Miro Gregorovic, Shakeel Khan and Elizabeth Lomas
Department of Computer Science, University College London, Holistic AI, University College London, Cisco Systems, University of Edinburgh - School of Mathematics, Unilever - Unilever PLC London, Centre for Data Ethics and Innovation, University College London, University of Alberta, Royal Institution of Chartered Surveyors, Ainstein AI, Technical University Munich, University College London, University College London, University College London, University of London - Department of Psychology, University of Warwick, London Stock Exchange, ValidateAI and University College London
Downloads 5,399 (3,329)
Citation 60

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Robustness, Explainability, Privacy, Bias, Fairness, Transparency, Accountability, Governance, Compliance

2.

Black-Box Model Risk in Finance

Number of pages: 31 Posted: 19 Mar 2021
Samuel N. Cohen, Derek Snow and Lukasz Szpruch
University of Oxford - Mathematical Institute, New York University (NYU) - Finance and Risk Engineering Department and University of Edinburgh - School of Mathematics
Downloads 806 (63,318)

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Neural Networks, derivative pricing, hedging, model risk, data cleaning, quantitative finance, data-driven models, market generators, uncertainty, reinforcement learning, sensitivity, adversarial attacks, robustness, expert design

3.

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 680 (78,966)
Citation 4

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

4.

Deep Learning in Finance: From Implementation to Regulation

Number of pages: 7 Posted: 20 Apr 2022
Louis Bertucci, Marie Briere, Olivier Fliche, Joseph Mikael and Lukasz Szpruch
Institut Louis Bachelier, Amundi Asset Management, French Banking Supervisory Authority, EDF Energy and University of Edinburgh - School of Mathematics
Downloads 436 (136,885)

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AI, deep learning, regulation, explainability

5.

Towards AI Standards: Thought-Leadership in Ai Legal, Ethical and Safety Specifications Through Experimentation

Number of pages: 28 Posted: 05 Oct 2021 Last Revised: 11 Nov 2021
Roseline Polle, Emre Kazim, Graca Carvalho, Adriano Koshiyama, Catherine Inness, Andrew Knight, Caroline Gorski, David Barber, Elizabeth Lomas, Emine Yilmaz, Gary Thompson, Ghazi Ahamat, Giles Pavey, Katherine Platts, Lukasz Szpruch, Miro Gregorovic, Miguel Rodrigues, Pam Ugwudike, Parashkev Nachev, Pete Rai, Philip Treleaven and Randy Goebel
University College London, Holistic AI, University College London, Department of Computer Science, University College London, University College London, Royal Institution of Chartered Surveyors, Rolls-Royce plc., University College London, University College London, University College London, Big Innovation Centre, Centre for Data Ethics and Innovation, Unilever - Unilever PLC London, Unilever, University of Edinburgh - School of Mathematics, London Stock Exchange, University College London, University of Southampton, University College London, Cisco Systems, University College London and University of Alberta
Downloads 420 (142,906)
Citation 2

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Artificial Intelligence, Ethics, Risk-Management, Robustness, Privacy, Fairness, Explainability, Auditability, Risk, Assessment

6.

Robust Pricing and Hedging via Neural SDEs

Number of pages: 34 Posted: 05 Aug 2020
Patryk Gierjatowicz, Marc Sabate-Vidales, David Siska, Lukasz Szpruch and Zan Zuric
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 Kaiju Capital Management
Downloads 414 (145,339)
Citation 2

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

7.

The Paradox of Adversarial Liquidation in Decentralised Lending

Number of pages: 23 Posted: 14 Aug 2023
Samuel N. Cohen, Marc Sabate-Vidales, Lukasz Szpruch and Mathis Gontier Delaunay
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Morpho Labs
Downloads 400 (151,197)
Citation 3

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decentralised finance, smart contracts, risk managment

8.

Conditional Sig-Wasserstein GANs for Time Series Generation

Number of pages: 32 Posted: 02 Jul 2020
Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao and Baoren Xiao
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 384 (158,137)
Citation 1

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

9.

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 362 (168,959)
Citation 1

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

10.

Leveraged Trading Via Lending Platforms

Number of pages: 18 Posted: 18 Feb 2024
Lukasz Szpruch, Jiahua Xu, Marc Sabate-Vidales and Kamel Aouane
University of Edinburgh - School of Mathematics, University College London - Department of Computer Science, University of Edinburgh - School of Mathematics and Contango.xyz
Downloads 311 (198,962)

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Cryptocurrency, decentralized finance, lending protocols, perpetual futures, arbitrage.

11.

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 301 (206,081)
Citation 1

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

12.

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 251 (248,019)

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

13.

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations

Number of pages: 11 Posted: 10 Feb 2023
Samuel N. Cohen, Marc Sabate-Vidales, David Siska and Lukasz Szpruch
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 130 (444,338)
Citation 2

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14.

Competitive pricing using model-based bandits

Number of pages: 52 Posted: 10 Apr 2024 Last Revised: 06 Dec 2024
Lukasz Sliwinski, Tanut Treetanthiploet, David Siska and Lukasz Szpruch
University of Edinburgh - School of Mathematics, University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 88 (585,624)

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algorithmic pricing, multi-armed bandits, pricing game