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ORCIDLeandro Sánchez-Betancourt
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Journal Articles
- 2024
[j3]Sebastian Jaimungal
, Silvana M. Pesenti, Leandro Sánchez-Betancourt:
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. 62(2): 982-1005 (2024)- 2022
- [j2]Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt:
Double-Execution Strategies Using Path Signatures. SIAM J. Financial Math. 13(4): 1379-1417 (2022) - 2021
- [j1]Álvaro Cartea, Leandro Sánchez-Betancourt:
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM J. Financial Math. 12(1): 254-294 (2021)
Conference and Workshop Papers
- 2024
- [c2]Gerardo Duran-Martin, Matías Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Patrick Murphy:
Outlier-robust Kalman Filtering through Generalised Bayes. ICML 2024 - 2023
- [c1]Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen:
Mbt-gym: Reinforcement learning for model-based limit order book trading. ICAIF 2023: 619-627
Informal and Other Publications
- 2024
- [i4]Gerardo Duran-Martin, Matías Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Murphy:
Outlier-robust Kalman Filtering through Generalised Bayes. CoRR abs/2405.05646 (2024) - 2023
- [i3]Melker Hoglund, Emilio Ferrucci, Camilo Hernández, Aitor Muguruza Gonzalez, Cristopher Salvi, Leandro Sánchez-Betancourt, Yufei Zhang:
A Neural RDE approach for continuous-time non-Markovian stochastic control problems. CoRR abs/2306.14258 (2023) - [i2]Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt:
Detecting Toxic Flow. CoRR abs/2312.05827 (2023) - 2022
- [i1]Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen:
Model-based gym environments for limit order book trading. CoRR abs/2209.07823 (2022)
Coauthor Index
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