Conference Proceedings

Optimal Execution with Reinforcement Learning with Edoardo Vittori, 2026, The 3rd International Conference on Artificial Intelligence, Computer, Data Sciences and Applications, IEEE Conference Proceedings.

Preprints

Optimal Execution under Liquidity Uncertainty with Etienne Chevalier, Sergio Pulido and Vathana Ly Vath, 2025, submitted 

Optimal Execution under Incomplete Information with Etienne Chevalier and Vathana Ly Vath, 2024, submitted 

Uncovering Market Disorder and Liquidity Trends Detection with Etienne Chevalier and Vathana Ly Vath, 2023, submitted 

Working papers

Reinforcement Learning for Optimal Execution with the Queue Reactive Model with Tomas España, Fabrizio Lillo and Edoardo Vittori

Optimal Dividend and Portfolio Growth for an Insurance Company under Uncertainty with Etienne Chevalier, Vathana Ly Vath and Chao Zhou 

Thesis manuscript: Inference and Control of Liquidity Risk Model