Working Papers
Most papers are on my ssrn page
Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies
Statistical Predictions of Trading Strategies in Electronic Markets
Algorithms can Learn to Collude: A Folk Theorem from Learning with Bounded Rationality
Brokers and Informed Traders: dealing with toxic flow and extracting trading signals
Decentralised Finance and Automated Market Making: Execution and Speculation
The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games
Algorithmic Collusion in Electronic Markets: The Impact of Tick Size Youtube summary of paper
Gradient-based estimation of linear Hawkes processes with general kernels
OLD Papers
Distinguished Limits of Lévy-Stable Processes, and Applications to Option Pricing (with Sam Howison)