Working Papers

Most papers are on my ssrn page

• Do Longer Block Times Impair Market Efficiency in Decentralized Markets?

• Scalable Generalized Bayesian Online Neural Network Training for Sequential Decision Making

• The Limited Virtue of Complexity in a Noisy World

• A Simple Strategy to Deal with Toxic Flow

• Alpha in Analysts

• Post-Hoc Uncertainty Quantification in Pre-Trained Neural Networks via Activation-Level Gaussian Processes

• Rough transformers: Lightweight and continuous time series modelling through signature patching

• Volume Shocks and Overnight Returns

• Anonymity, Signaling, and Collusion in Limit Order Books

• Observation Noise and Initialization in Wide Neural Networks

• Adaptive-Robust Portfolio Optimisation

• Strategic Bonding Curves in Automated Market Makers

• A Similarity-based Approach to Covariance Forecasting

• Spoofing Order Books with Learning Algorithms

• Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies

• Detecting Toxic Flow

• Bandits for Algorithmic Trading with Signals

• Automated Market Makers Designs Beyond Constant Functions

• Algorithms can Learn to Collude: A Folk Theorem from Learning with Bounded Rationality

• 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 

• Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process

• Distinguished Limits of Lévy-Stable Processes, and Applications to Option Pricing (with Sam Howison)