The first five years of the AAA algorithm
Nakatsukasa, Y
Sete, O
Trefethen, L
(06 Dec 2023)
doi:10.48550/arxiv.2312.03565
A Limit Order Book Model for Latency Arbitrage
Cohen, S
Szpruch, L
(01 Jan 2011)
doi:10.2139/ssrn.1947328
A limit order book model for latency arbitrage
Cohen, S
Szpruch, L
(21 Oct 2011)
doi:10.48550/arxiv.1110.4811
On Markovian solutions to Markov Chain BSDEs
Cohen, S
Szpruch, L
(24 Nov 2011)
doi:10.48550/arxiv.1111.5739
Black-Box Model Risk in Finance
Cohen, S
Snow, D
Szpruch, L
(01 Jan 2021)
doi:10.2139/ssrn.3782412
Black-box model risk in finance
Cohen, S
Snow, D
Szpruch, L
(09 Feb 2021)
doi:10.48550/arxiv.2102.04757
Identifiability in inverse reinforcement learning
Cao, H
Cohen, S
Szpruch, L
(07 Jun 2021)
doi:10.48550/arxiv.2106.03498
Inefficiency of CFMs: hedging perspective and agent-based simulations
Cohen, S
Vidales, M
Šiška, D
Szpruch, Ł
(08 Feb 2023)
doi:10.48550/arxiv.2302.04345
Automated Market Makers Designs Beyond Constant Functions
Cartea, Á
Drissi, F
Sánchez-Betancourt, L
Siska, D
Szpruch, L
(2023)
doi:10.2139/ssrn.4459177
The Paradox of Adversarial Liquidation in Decentralised Lending
Cohen, S
Sabate-Vidales, M
Szpruch, L
Delaunay, M
(2023)
doi:10.2139/ssrn.4540333