Dr Leandro Sanchez Betancourt

DPhil, MSc, BSc

Pronouns

He / Him

Status

Academic Faculty

+44 1865 280468

Contact form

http://leandro-sbetancourt.github.io/

ORCID iD

https://orcid.org/0000-0001-6447-7105

Research groups

Mathematical and Computational Finance

Address

Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG

Major / recent publications

Boyce, R., Herdegen, M., & Sánchez-Betancourt, L. (2025+). Market Making with Exogenous Competition. Forthcoming in SIAM Journal on Financial Mathematics.

Bergault P., & Sánchez-Betancourt, L. (2025). A Mean Field Game between Informed Traders and a Broker. SIAM Journal on Financial Mathematics 16 (2), 358-388.

Cartea, Á., & Sánchez-Betancourt, L. (2025). Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals. Forthcoming in SIAM Journal on Financial Mathematics 16 (2), 243-270.

Jaimungal, S., Pesenti, S. M., & Sánchez-Betancourt, L. (2024). Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes. SIAM Journal on Control and Optimization 60 (2), 982-1005.

Hughston, L. P., & Sánchez-Betancourt, L. (2024). Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement. Journal of Physics A: Mathematical and Theoretical 57 (28), 285302

Cartea, Á., & Sánchez-Betancourt, L. (2023). Optimal Execution with Stochastic Delay. Finance and Stochastics 27(1), 1-47.

Bellani, C., Brigo, D., Pakkanen, M. S., & Sánchez-Betancourt, L. (2023). Price Impact without Averaging. Applied Mathematical Finance 30 (4), 175-206.

Cartea, Á., Perez Arribas, I., & Sánchez-Betancourt, L. (2022). Double-Execution Strategies using Path Signatures. SIAM Journal on Financial Mathematics 13 (4), 1379–1417.

Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Latency and Liquidity Risk. International Journal of Theoretical and Applied Finance 24 (06n07), 1-37.

Forde, M., Sánchez-Betancourt, L., & Smith, B. (2021). Optimal Trade Execution for Gaussian Signals with Power-law Resilience. Quantitative Finance 22 (3), 585-596.

Bouzianis, G., Hughston, L. P., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Lévy-Ito Models in Finance. Probability Surveys 18, 132-178.

Cartea, Á., & Sánchez-Betancourt, L. (2021). The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM Journal on Financial Mathematics 12 (1), 254-294.

Prizes, awards, and scholarships

Bruti Liberati Prize for best PhD thesis in Quantitative Finance, awarded by the Bachelier Finance Society and the Politecnico di Milano, in cooperation with Springer.

Best overall performance student award, awarded by Department of Mathematics, King’s College London.

Gabino Barreda medal, awarded by Universidad Nacional Autónoma de México.

Research interests

High-Frequency and Algorithmic Trading

Stochastic Games between Takers and Makers of Liquidity

Mathematical Finance

Market Microstructure

Market Simulation