Leandro Sánchez-Betancourt

According to our database, Leandro Sánchez-Betancourt authored at least 10 papers between 2021 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes.

Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt

SIAM J. Control. Optim., 2024

Outlier-robust Kalman Filtering through Generalised Bayes.

Gerardo Duran-Martin, Matías Altamirano, Alexander Y. Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones, François-Xavier Briol, Kevin Patrick Murphy

Proceedings of the Forty-first International Conference on Machine Learning, 2024

Mixtures of Experts for Scaling up Neural Networks in Order Execution.

Kang Li, Mihai Cucuringu, Leandro Sánchez-Betancourt, Timon Willi

Proceedings of the 5th ACM International Conference on AI in Finance, 2024

Detecting Collective Liquidity Taking Distributions.

Andrei-Bogdan Balcau, Leandro Sánchez-Betancourt, Stefan Sarkadi, Carmine Ventre

Proceedings of the 5th ACM International Conference on AI in Finance, 2024

2023

Detecting Toxic Flow.

Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt

CoRR, 2023

A Neural RDE approach for continuous-time non-Markovian stochastic control problems.

Melker Hoglund, Emilio Ferrucci, Camilo Hernández, Aitor Muguruza Gonzalez, Cristopher Salvi, Leandro Sánchez-Betancourt, Yufei Zhang

CoRR, 2023

Mbt-gym: Reinforcement learning for model-based limit order book trading.

Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen

Proceedings of the 4th ACM International Conference on AI in Finance, 2023

2022

Double-Execution Strategies Using Path Signatures.

Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt

SIAM J. Financial Math., December, 2022

Model-based gym environments for limit order book trading.

Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, Martin Herdegen

CoRR, 2022

2021

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets.

Álvaro Cartea, Leandro Sánchez-Betancourt

SIAM J. Financial Math., 2021