Leandro Sánchez-Betancourt

18 papers A* 1Journal 13Unranked 4
YearRankTypeTitle / Venue / Authors
2025 J jnl
A Mean Field Game between Informed Traders and a Broker.
SIAM J. Financial Math.
Philippe Bergault, Leandro Sánchez-Betancourt
2025 J jnl
A unifying framework for generalised Bayesian online learning in non-stationary environments.
Trans. Mach. Learn. Res.
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Alexander Y. Shestopaloff, Kevin Patrick Murphy
2025 J jnl
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals.
SIAM J. Financial Math.
Álvaro Cartea, Leandro Sánchez-Betancourt
2025 — conf
LLM Embedding for Regression Priors.
ICAIF
Kang Li, Jiawei Miao, Mihai Cucuringu, Leandro Sánchez-Betancourt
2025 J jnl
Market Making with Exogenous Competition.
SIAM J. Financial Math.
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
2025 J jnl
Scalable Generalized Bayesian Online Neural Network Training for Sequential Decision Making.
CoRR
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Álvaro Cartea, Kevin Murphy
2024 J jnl
BONE: a unifying framework for Bayesian online learning in non-stationary environments.
CoRR
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Alexander Y. Shestopaloff, Kevin Murphy
2024 — conf
Detecting Collective Liquidity Taking Distributions.
ICAIF
Andrei-Bogdan Balcau, Leandro Sánchez-Betancourt, Stefan Sarkadi, Carmine Ventre
2024 J jnl
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes.
SIAM J. Control. Optim.
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
2024 — conf
Mixtures of Experts for Scaling up Neural Networks in Order Execution.
ICAIF
Kang Li, Mihai Cucuringu, Leandro Sánchez-Betancourt, Timon Willi
2024 A* conf
Outlier-robust Kalman Filtering through Generalised Bayes.
ICML
Gerardo Duran-Martin, Matías Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Patrick Murphy
2024 J jnl
Outlier-robust Kalman Filtering through Generalised Bayes.
CoRR
Gerardo Duran-Martin, Matías Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Murphy
2023 J jnl
A Neural RDE approach for continuous-time non-Markovian stochastic control problems.
CoRR
Melker Hoglund, Emilio Ferrucci, Camilo Hernández, Aitor Muguruza Gonzalez, Cristopher Salvi, Leandro Sánchez-Betancourt, Yufei Zhang
2023 J jnl
Detecting Toxic Flow.
CoRR
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
2023 — conf
Mbt-gym: Reinforcement learning for model-based limit order book trading.
ICAIF
Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen
2022 J jnl
Double-Execution Strategies Using Path Signatures.
SIAM J. Financial Math.
Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt
2022 J jnl
Model-based gym environments for limit order book trading.
CoRR
Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen
2021 J jnl
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets.
SIAM J. Financial Math.
Álvaro Cartea, Leandro Sánchez-Betancourt