Oxford Working Papers in Mathematical and Computational Finance: 2024
24-01 A Mean Field Game between Informed Traders and a Broker
Authors: Philippe Bergault, Leandro Sánchez-Betancourt
24-02 The Good, the Bad, and Latency: Exploratory Trading on Bybit and Binance
Authors: Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
24-03 Data-driven Option Pricing
Authors: Min Dai, Hanqing Jin, Xi Yang
24-04 Generalization Error of Graph Neural Networks in the Mean-field Regime
Authors: Gholamali Aminian, Yixuan He, Gesine Reinert, Łukasz Szpruch, Samuel N. Cohen
24-05 Random vortex dynamics and Monte-Carlo simulations for wall-bounded viscous flows
Authors: Vladislav Cherepanov, Sebastian W. Ertel, Zhongmin Qian, Jiang-Lun Wu
24-06 Mean field equations arising from random vortex dynamics
Authors: Jiawei Li, Zhongmin Qian
24-07 Options-driven Volatility Forecasting
Authors: Nikolas Michael, Mihai Cucuringu and Sam Howison
24-08 Outlier-robust Kalman Filtering through Generalised Bayes
Authors: Gerardo Duran-Martin, Matias Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Murphy
24-09 Competition and learning in dealer markets
Authors: Hanna Assayag, Alexander Barzykin, Rama Cont and Wei Xiong
24-10 Reality Only Happens Once: Single-Path Generalization Bounds for Transformers
Authors: Yannick Limmer, Anastasis Kratsios, Xuwei Yang, Raeid Saqur, Blanka Horvath
24-11 Rough Transformers: Lightweight Continuous-Time Sequence Modelling with Path Signatures
Authors: Fernando Moreno-Pino, Álvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea
24-12 Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
Authors: Raeid Saqur, Anastasis Kratsios, Florian Krach, Yannick Limmer, Jacob-Junqi Tian, John Willes, Blanka Horvath, Frank Rudzicz
24-13 Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
Authors: Julio Backhoff-Veraguas, Gregoire Loeper, Jan Obloj
24-14 Optimal Control of the Nonlinear Stochastic Fokker--Planck Equation
Authors: Ben Hambly, Philipp Jettkant
24-15 Nash Equilibrium between Brokers and Traders
Authors: Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
24-16 Market Making with Exogenous Competition
Authors: Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
24-17 Strategic Learning and Trading in Broker-Mediated Markets
Authors: Alif Aqsha, Fayçal Drissi, Leandro Sánchez-Betancourt
24-18 Sensitivity of causal distributionally robust optimization
Authors: Yifan Jiang, Jan Obloj
24-19 Causal transport on path space
Authors: Rama Cont, Fang Rui Lim
24-20 Strategic Bonding Curves in Automated Market Makers
Authors: Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
24-21 Chain or Channel? Payment Optimization with Heterogeneous Flow
Authors: Paolo Guasoni, Nazem Khan
24-22 Reality Only Happens Once: Single-Path Generalization Bounds for Transformers
Authors: Yannick Limmer, Anastasis Kratsios, Xuwei Yang, Raeid Saqur, Blanka Horvath
24-23 Scalable Signature-Based Distribution Regression via Reference Sets
Authors: Andrew Alden, Carmine Ventre, Blanka Horvath
24-24 Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
Authors: Raeid Saqur, Anastasis Kratsios, Florian Krach, Yannick Limmer, Jacob-Junqi Tian, John Willes, Blanka Horvath, Frank Rudzicz
24-25 To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies
Authors: Jakob Albers, Mihai Cucuringu, Sam Howison, Alexander Y. Shestopaloff