Research

Market microstructure

Learning in games

Industrial organisation

Cartea, Álvaro, Patrick Chang, and Gabriel García-Arenas. 2023. Spoofing and Manipulating Order Books with Learning Algorithms. Available at SSRN 4639959. [PDF]

Cartea, Álvaro, Patrick Chang, José Penalva, and Harrison Waldon. 2022. Algorithms can Learn to Collude: A Folk Theorem from Learning with Bounded Rationality. Available at SSRN 4293831. [PDF]

Cartea, Álvaro, Patrick Chang, José Penalva, and Harrison Waldon. 2022. The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games. Available at SSRN 4175239. [PDF]

Cartea, Álvaro, Patrick Chang, and José Penalva. 2022. Algorithmic Collusion in Electronic Markets: The Impact of Tick Size. Available at SSRN 4105954. [PDF]

Cartea, Álvaro, Patrick Chang, Mateusz Mroczka, and Roel Oomen. 2022. AI Driven Liquidity Provision in OTC Financial Markets. Quantitative Finance 22(12): 2171-2204. [PDF]

Chang, Patrick, Etienne Pienaar, and Tim Gebbie. 2021. The Epps effect under alternative sampling schemes. Physica A: Statistical Mechanics and its Applications 583: 126329. [PDF]

Chang, Patrick, Etienne Pienaar, and Tim Gebbie. 2020. Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms. SIAM Journal on Scientific Computing 42(6): B1378–B1403. [PDF]

Chang, Patrick. 2020. Fourier instantaneous estimators and the Epps effect. PLOS ONE 15(9): e0239415. [PDF]

2023:

• • Learning in Games and Algorithmic Collusion Workshop.

  • Learning, Evolution and Games Conference.

  • Oxford–ETH Workshop.

  • SIAM Financial Maths Conference.

  • 67th EWGCFM Meeting.

2022:

• • London–Oxford–Warwick Mathematical Finance Workshop.

  • 11th World Congress of the Bachelier Finance Society.

  • Machine Learning and Quantitative Finance Workshop.

  • Oxford–ETH Workshop.