Dr Leandro Sanchez Betancourt

Bergault P., & Sánchez-Betancourt, L. (2025+). A Mean Field Game between Informed Traders and a Broker. Forthcoming in SIAM Journal on Financial Mathematics.

Cartea, Á., & Sánchez-Betancourt, L. (2024+). Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals. Forthcoming in SIAM Journal on Financial Mathematics.

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.

Höglund, M., Ferrucci, E., Hernández, C., Muguruza Gonzalez, A., Salvi, C., Sánchez-Betancourt, L., & Zhang, Y. (2023). A Neural RDE approach for continuous-time non-Markovian stochastic control problems. Workshop on New Frontiers in Learning, Control, and Dynamical Systems at the International Conference on Machine Learning (ICML), Honolulu, Hawaii, USA, 2023.

Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2023). Reinforcement Learning for Algorithmic Trading. In Machine Learning and Data Sciences for Financial Markets: A guide to contemporary practices. Edited by C.-A. Lehalle and A. Capponi. Cambridge University Press.

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.