Zobrazeno 1 - 10
of 143
pro vyhledávání: '"Sanchez-Betancourt A"'
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competing market makers. We assume that the competing market makers use a `ru
Externí odkaz:
http://arxiv.org/abs/2407.17393
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact with expo
Externí odkaz:
http://arxiv.org/abs/2407.10561
Autor:
Duran-Martin, Gerardo, Altamirano, Matias, Shestopaloff, Alexander Y., Sánchez-Betancourt, Leandro, Knoblauch, Jeremias, Jones, Matt, Briol, François-Xavier, Murphy, Kevin
We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models. Our method combines generalised Bayesian inference with filtering met
Externí odkaz:
http://arxiv.org/abs/2405.05646
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand, observes the trad
Externí odkaz:
http://arxiv.org/abs/2401.05257
This paper develops a framework to predict toxic trades that a broker receives from her clients. Toxic trades are predicted with a novel online Bayesian method which we call the projection-based unification of last-layer and subspace estimation (PULS
Externí odkaz:
http://arxiv.org/abs/2312.05827
Autor:
Hoglund, Melker, Ferrucci, Emilio, Hernandez, Camilo, Gonzalez, Aitor Muguruza, Salvi, Cristopher, Sanchez-Betancourt, Leandro, Zhang, Yufei
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morrill et al. (2021). Non-Markovianity naturally arises in control problem
Externí odkaz:
http://arxiv.org/abs/2306.14258
We consider a rational agent who at time $0$ enters into a financial contract for which the payout is determined by a quantum measurement at some time $T>0$. The state of the quantum system is given in the Heisenberg representation by a known density
Externí odkaz:
http://arxiv.org/abs/2305.10239
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution -- in limit order books. This paper introduces \mbtgym, a Python modu
Externí odkaz:
http://arxiv.org/abs/2209.07823
Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such that the Q-expectations of some terminal and running costs are constrain
Externí odkaz:
http://arxiv.org/abs/2206.14844
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a security that
Externí odkaz:
http://arxiv.org/abs/2201.08875