Publications
Textbook
Algorithmic and High-Frequency Trading (with Sebastian Jaimungal and Jose Penalva)
Published Papers
Most papers are on my ssrn page
65) Decentralised Finance and Automated Market Making: Permanent Loss and Optimal Liquidity Provision (with F. Drissi, M. Monga)
Forthcoming: SIAM Journal on Financial Mathematics
64) Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers (with Á. Arroyo, F. Moreno-Pino, S. Zohren)
Forthcoming: Quantitative Finance
63) Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers (with F. Drissi and M. Monga)
IEEE 43rd International Conference on Distributed Computing Systems Workshops (ICDCSW), 2023
62) Correlation Matrix Clustering for Statistical Arbitrage Portfolios (with M. Cucuringu and Q. Jin)
4th ACM International Conference on AI Finance, 2023
61) Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets (with F. Drissi and M. Monga)
Applied Mathematical Finance, 2023, 30:2, 69-93.
60) Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning (with A. Coache and S. Jaimungal)
SIAM Journal on Financial Mathematics, 2023, Vol. 14, Iss. 4
59) AI Driven Liquidity Provision in OTC Financial Markets (with P. Chang, M. Mroczka, R.C.A. Oomen)
Quantitative Finance, 2022, 22:12, 2171-2204
58) Double-Execution Strategies using Path Signatures (with Imanol Perez-Arriba and L. Sanchez-Betancourt)
SIAM Journal on Financial Mathematics, 2022,Vol. 13, Iss. 4
57) Optimal Execution with Stochastic Delay (with L. Sanchez-Betancourt)
Finance and Stochastics, 2022, 27, 1–47
56) Optimal Cross-Border Electricity Trading (with M. Flora, G. Slavov, and T. Vargiolu)
SIAM Journal on Financial Mathematics, 2022, Vol. 13, Iss. 1
Winner of the best paper prize awarded by the Commodity & Energy Markets Association (CEMA), Rome 2018.
55) Latency and Liquidity Risk (with S Jaimungal and L. Sanchez-Betancourt)
International Journal of Theoretical and Applied Finance, 2021, Vol. 24, No. 06n07, 2150035
54) Adaptive Robust Control in Continuous-Time (with T. Bhudisaksang)
SIAM Journal on Control and Optimization, 2021, 59(5), 3912-3945.
53) Deep Reinforcement Learning for Algorithmic Trading (with S Jaimungal and L. Sanchez-Betancourt)
In Machine Learning in Financial Markets: A guide to contemporary practices. Edited by C.-A. Lehalle and A. Capponi. Cambridge University Press.
52) Online drift estimation for jump-diffusion processes (with T. Bhudisaksang)
Bernoulli, 27 (4) 2494 - 2518, November 2021
51) The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets (with L. Sanchez-Betancourt).
SIAM Journal on Financial Mathematics, 2020, 12 (1), 254-294.
50) Trading Foreign Exchange Triplets (with Tianyi and Jaimungal).
SIAM Journal on Financial Mathematics, 2020, 11(3), 690–719.
49) Hedging Non-Tradable Risks with Transaction Costs and Price Impact (with R. Donnelly and S. Jaimungal)
Mathematical Finance, 2020, 30 (3), 833-868.
48) Market Making with Alpha Signals (with Y. Wang).
International Journal of Theoretical and Applied Finance, 2020, Vol. 23, No. 03, 2050016.
47) Spoofing and Manipulation in Order Driven Markets (with S. Jaimungal and Y. Wang).
Applied Mathematical Finance, 2020, 27:1-2, 67-98.
46) Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders (with
L. Gan and S. Jaimungal).
SIAM Journal on Financial Mathematics, 10(3), p 790–814, 2019.
45) Trading cointegrated assets with price impact (L. Gan and S. Jaimungal).
Mathematical Finance, 29(2), p 542-567, 2019.
44) Speculative Trading of Electricity Contracts in Interconnected Locations (with S. Jaimungal and Z. Quin).
Energy Economics, 79, pp 3-20, 2019.
43) Market Making with Minimum Resting Times (with Y. Wang).
Quantitative Finance, 19(6), pp 903-920, 2019.
42) Ultra-Fast Activity and Market Quality (with J. Penalva, M. Tapia, R. Payne)
Journal of Banking and Finance, V 99, Pages 157-181, February 2019.
41) Foreign Exchange Markets with Last Look (with S. Jaimungal)
Mathematics and Financial Economics, January 2019, V 13, Issue 1, pp 1–30.
40) Technical Uncertainty in Real Options with Learning (with A. Alaradi and S. Jaimungal)
Journal of Energy Markets, 11(4), pp 51-73, 2018.
39) Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (with Sebastian Jaimungal and Jason Ricci)
SIAM’S SIGEST PRIZE 2018, SIAM Review, 60(3), 673–703, 2018.
38) Trading Strategies within the Edges of No-Arbitrage (with S. Jaimungal and J. Ricci)
International Journal of Theoretical and Applied Finance, Vol. 21, No. 03, 1850025, 2018.
37) Enhancing Trading Strategies with Order Book Signals (with Ryan Donnelly and Sebastian Jaimungal)
Forthcoming: Applied Mathematical Finance
36) Portfolio Liquidation and Ambiguity Aversion (with Ryan Donnelly and Sebastian Jaimungal)
In High-Performance Computing in Finance: Problems, Methods, and Solutions, Eds M. A. H. Dempster, Juho Kanniainen, John Keane, Erik Vynckier
35) Liquidating Baskets of Co-Moving Assets (with Luhui Gan and Sebastian Jaimungal)
Forthcoming: Mathematical Finance
34) Irreversible Investments and Ambiguity Aversion (with Sebastian Jaimungal)
International Journal of Theoretical and Applied Finance, Vol. 20, No. 7 (2017) 1750044
33) Algorithmic Trading with Model Uncertainty (previously Robust Market Making) (with Ryan Donnelly and Sebastian Jaimungal)
SIAM Journal on Financial Mathematics 2017, Vol 8, pp 635-671
32) A Closed-Form Execution Strategy to Target Volume Weighted Average Price (with Sebastian Jaimungal)
SIAM Journal on Financial Mathematics 2016, 7:1, pp 760-785
31) Algorithmic Trading of Co-Integrated Assets (with Sebastian Jaimungal)
International Journal of Theoretical and Applied Finance, Vol. 19, No. 6, 1650038 (2016)
30) Incorporating Order-Flow into Optimal Execution (with Sebastian Jaimungal)
Mathematics and Financial Economics, June 2016, Volume 10, Issue 3, pp 339-364
29) Model Uncertainty in Commodity Markets (with Sebastian Jaimungal and Zhen Qin)
SIAM Journal on Financial Mathematics, 7-1 (2016), pp. 1-33
28) Algorithmic Trading with Learning (with Sebastian Jaimungal and Damir Kinzebulatov)
International Journal of Theoretical and Applied Finance, Vol. 19, No. 04, 1650028 (2016)
27) Order-Flow and Liquidity Provision (with Sebastian Jaimungal)
ARGO, Year 2 - Issue Number 5 - Winter 2015.
26) Optimal Execution with Limit and Market Orders (with Sebastian Jaimungal)
Quantitative Finance, Vol. 15, No. 8, 1279–1291
25) Security of Supply and the Cost of Storing Gas (with Sebastian Jaimungal and James Cheeseman)
ARGO, Year 1 - Issue Number 3 - Summer 2014
24) The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets (with Dimitris Karyampas)
Econometric Reviews, Volume 35, Issue 6, 2016
23) Buy Low Sell High: A High Frequency Trading Perspective (with Sebastian Jaimungal and Jason Ricci)
SIAM Journal on Financial Mathematics, 5.1 (2014): 415-444.
Recipient of SIAM’s SIGEST award for best paper published in SIAM Journal on Financial Mathematics between 2013 and 2017.
22) How to Value a Gas Storage Facility (with James Cheeseman and Sebastian Jaimungal)
In Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, (The Wiley Finance Series)
21) Volume Imbalance and Market Making (with Ryan Donnelly and Sebastian Jaimungal)
Recent Advances in Financial Engineering 2014: Proceedings of the TMU Finance Workshop 2014, Tokyo Metropolitan University (TMU).
20) Modeling Asset Prices for Algorithmic and High Frequency Trading (with Sebastian Jaimungal)
Applied Mathematical Finance, Vol. 20, No. 6, 2013, Pages 512–547
9) Risk Metrics and Fine Tuning of High Frequency Trading Strategies (with Sebastian Jaimungal)
Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
18) Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data
Quantitative Finance, Volume 13 (1), 2013, Pages 111-123.
17) Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS (with Jonatan Saúl and Juan Toro)
Journal of Empirical Finance, Volume 19, Issue 5, December 2012, Pages 721–740
16) Where is the Value in High Frequency Trading? (with José Penalva)
Quarterly Journal of Finance, Volume 2 (3), 2012, 1-46.
15) An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia (with Pablo Villaplana)
Quantitative Energy Finance. 2014, pp 215-236, Springer New York.
14) Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis (with Dimitris Karyampas)
Applied Mathematical Finance, Volume 19, Issue 6, 2012, 535-552.
13) How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach (with Carlos González-Pedraz)
Energy Economics, Volume 34, Issue 1, January 2012, p 14–30.
12) Volatility and Covariation of Financial Assets: A High-Frequency Analysis (with Dimitris Karyampas)
Journal of Banking and Finance 35(12), December 2011, p 3319-3334.
11) How Duration Between Trades of Underlying Securities Affects Option Prices (with Thilo Meyer-Brandis)
Review of Finance, Volume 14, Issue 4, October 2010, p 749-785
10) Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance (with Sam Howison)
Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409
9) Modelling Electricity Prices with Forward Looking Capacity Constraints (with M.G. Figueroa and H. Geman)
Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122.
8) A Multivariate Commodity Analysis and Applications to Risk Management (with R. Boerger, R. Kiesel and G. Schindlmayr)
Journal of Futures Markets, Volume 29, Issue 3, March 2009, p 197-217.
7) How should real transport options be measured?
6) Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (with Pablo Villaplana Conde)
Journal of Banking and Finance 32, Issue 12, (2008), pp. 2502-2519.
5) Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium (with F.E. Benth and R. Kiesel)
Journal of Banking and Finance 32, Issue 10, (2008), pp. 2006-2021.
4) UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts (with T. Williams)
Energy Economics, Volume 30, Issue 3, pages 829-846, May 2008.
3) On the fluid limit of the continuous-time random walk with general Lévy jump distribution functions (with Diego del-Castillo-Negrete)
Physical Review E, 76, 2007.
2) Fractional Diffusion Models of Option Prices in Markets with Jumps (with Diego del-Castillo-Negrete)
Physica A, 374, pages 749–763, 2007.
1) Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality (with Marcelo G. Figueroa)
Applied Mathematical Finance, Volume 12, No 4, 313-335, December 2005.