Leandro Sánchez-Betancourt

Publication Activity (10 Years)

Years Active: 2021-2024
Publications (10 Years): 8

Top Topics

Foreign Exchange

Hamilton Jacobi Bellman

Stochastic Control

Top Venues

SIAM J. Financial Math.

SIAM J. Control. Optim.

Publications

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 (2024)
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. 62 (2) (2024)
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 (2023)
Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen
Mbt-gym: Reinforcement learning for model-based limit order book trading. ICAIF (2023)
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
Detecting Toxic Flow. CoRR (2023)
Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen
Model-based gym environments for limit order book trading. CoRR (2022)
Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt
Double-Execution Strategies Using Path Signatures. SIAM J. Financial Math. 13 (4) (2022)
Álvaro Cartea, Leandro Sánchez-Betancourt
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM J. Financial Math. 12 (1) (2021)