Research

Here is a list of my latest research.

Research papers

Published/accepted journal papers
  1. Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2026+). Nash Equilibrium between Brokers and Traders.
    Finance and Stochastics, to appear. 
    @article{cartea2025nash,
title={Nash equilibrium between brokers and traders},
author={Cartea, {\'A}lvaro and Jaimungal, Sebastian and S{\'a}nchez-Betancourt, Leandro},
journal={Finance and Stochastics, to appear, arXiv:2407.10561},
year={2026+}
}

  2. Cartea, Á., Duran-Martin, G., & Sánchez-Betancourt, L. (2026). Detecting Toxic Flow.
    Quantitative Finance, 26 (4), 541-561. 
    @article{cartea2026detecting,
title={Detecting Toxic Flow},
author={Cartea, {\'A}lvaro and Duran Martin, Gerardo and  S{\'a}nchez-Betancourt, Leandro},
journal={Quantitative Finance},
volume = {26},
number = {4},
pages = {541-561},
year={2026}
}

  3. Bhudisaksang, T., Cartea, Á., & Sánchez-Betancourt, L. (2026). Adaptive-Robust Portfolio Optimisation.
    Mathematics and Financial Economics, 20 (1), 171-202. 
    @article{cartea2025adaptive,
title={Adaptive-Robust Portfolio Optimisation},
author={Bhudisaksang, Theerawat and Cartea, {\'A}lvaro and  S{\'a}nchez-Betancourt, Leandro},
journal={Mathematics and Financial Economics},
volume = {20},
number = {1},
pages = {171-202},
year={2026}
}

  4. Boyce, R., Herdegen, M., & Sánchez-Betancourt, L. (2025). Market Making with Exogenous Competition.
    SIAM Journal on Financial Mathematics 16 (2), 692-706. 
    @article{boyce2025market,
author = {Boyce, Robert and Herdegen, Martin and S\'{a}nchez-Betancourt, Leandro},
title = {Market Making with Exogenous Competition},
journal = {SIAM Journal on Financial Mathematics},
volume = {16},
number = {2},
pages = {692-706},
year = {2025}
}

  5. Duran-Martin, G., Sánchez-Betancourt, L., Shestopaloff, A., & Murphy, K. P. (2025). A unifying framework for generalised Bayesian online learning in non-stationary environments.
    Transactions on Machine Learning Research. 
    @article{duran2025unifying,
title={A unifying framework for generalised Bayesian online learning in non-stationary environments},
author={Gerardo Duran-Martin and Leandro S{\'a}nchez-Betancourt and Alex Shestopaloff and Kevin Patrick Murphy},
journal={Transactions on Machine Learning Research},
issn={2835-8856},
year={2025},
url={https://openreview.net/forum?id=osesw2V10u}
}

  6. Bergault P., & Sánchez-Betancourt, L. (2025). A Mean Field Game between Informed Traders and a Broker.
    SIAM Journal on Financial Mathematics 16 (2), 358-388. 
    @article{bergault2025mean,
  title={A mean field game between informed traders and a broker},
  author={Bergault, Philippe and S{\'a}nchez-Betancourt, Leandro},
  journal={SIAM Journal on Financial Mathematics},
  volume={16},
  number={2},
  pages={358--388},
  year={2025},
  publisher={SIAM}
}

  7. Cartea, Á., & Sánchez-Betancourt, L. (2025). Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals.
    SIAM Journal on Financial Mathematics 16 (2), 243-270. 
    @article{cartea2025brokers,
  title={Brokers and informed traders: dealing with toxic flow and extracting trading signals},
  author={Cartea, {\'A}lvaro and S{\'a}nchez-Betancourt, Leandro},
  journal={SIAM Journal on Financial Mathematics},
  volume={16},
  number={2},
  pages={243--270},
  year={2025},
  publisher={SIAM}
}

  8. Cartea, Á., Cohen, S. N., Graumans, R., Labyad, S., Sánchez-Betancourt, L., & van Veldhuijzen, L. (2024). Statistical Predictions of Trading Strategies in Electronic Markets.
    Journal of Financial Econometrics 23 (2), nbae025. 
    @article{cartea2025statistical,
  title={Statistical predictions of trading strategies in electronic markets},
  author={Cartea, {\'A}lvaro and Cohen, Samuel N and Graumans, Robert and Labyad, Saad and S{\'a}nchez-Betancourt, Leandro and van Veldhuijzen, Leon},
  journal={Journal of Financial Econometrics},
  volume={23},
  number={2},
  pages={nbae025},
  year={2025},
  publisher={Oxford University Press}
}

  9. Hughston, L. P., & Sánchez-Betancourt, L. (2024). Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement.
    Journal of Physics A: Mathematical and Theoretical 57 (28), 285302. 
    @article{HS-23-VoaFCCotOoaQM,
  title={Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement},
  author={Hughston, Lane P and S{\'a}nchez-Betancourt, Leandro},
  journal={Journal of Physics A: Mathematical and Theoretical},
  year={2024}
}

  10. Bouzianis, G., Hughston, L. P., & Sánchez-Betancourt, L. (2024). Information-based Trading.
    International Journal of Theoretical and Applied Finance 27 (3,4), 2350030:1-33. 
    @article{BHS-22-IbT,
  title={Information-based trading},
  author={Bouzianis, George and Hughston, Lane P and S{\'a}nchez-Betancourt, Leandro},
  journal={International Journal of Theoretical and Applied Finance},
  volume={27},
  number={03n04},
  pages={2350030},
  year={2024},
  publisher={World Scientific}
}

  11. Jaimungal, S., Pesenti, S. M., & Sánchez-Betancourt, L. (2024). Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes.
    SIAM Journal on Control and Optimization 60 (2), 982-1005. 
    @article{jaimungal2024minimal,
  title={Minimal kullback--leibler divergence for constrained l{\'e}vy--it{\^o} processes},
  author={Jaimungal, Sebastian and Pesenti, Silvana M and S{\'a}nchez-Betancourt, Leandro},
  journal={SIAM Journal on Control and Optimization},
  volume={62},
  number={2},
  pages={982--1005},
  year={2024},
  publisher={SIAM}
}

  12. Bellani, C., Brigo, D., Pakkanen, M. S., & Sánchez-Betancourt, L. (2023). Price Impact without Averaging.
    Applied Mathematical Finance 30 (4), 175-206. 
    @article{bellani2023price,
  title={Price Impact Without Averaging},
  author={Bellani, Claudio and Brigo, Damiano and Pakkanen, Mikko S and S{\'a}nchez-Betancourt, Leandro},
  journal={Applied Mathematical Finance},
  volume={30},
  number={4},
  pages={175--206},
  year={2023},
  publisher={Taylor \& Francis}
}

  13. Cartea, Á., & Sánchez-Betancourt, L. (2023). Optimal Execution with Stochastic Delay.
    Finance and Stochastics 27 (1), 1-47. 
    @article{cartea2023optimal,
  title={Optimal execution with stochastic delay},
  author={Cartea, {\'A}lvaro and S{\'a}nchez-Betancourt, Leandro},
  journal={Finance and Stochastics},
  volume={27},
  number={1},
  pages={1--47},
  year={2023},
  publisher={Springer}
}

  14. Cartea, Á., Perez Arribas, I., & Sánchez-Betancourt, L. (2022). Double-Execution Strategies using Path Signatures.
    SIAM Journal on Financial Mathematics 13 (4), 1379–1417. 
    @article{cartea2022double,
  title={Double-execution strategies using path signatures},
  author={Cartea, {\'A}lvaro and Arribas, Imanol P{\'e}rez and S{\'a}nchez-Betancourt, Leandro},
  journal={SIAM Journal on Financial Mathematics},
  volume={13},
  number={4},
  pages={1379--1417},
  year={2022},
  publisher={SIAM}
}

  15. Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Latency and Liquidity Risk.
    International Journal of Theoretical and Applied Finance 24 (06n07), 1-37. 
    @article{cartea2021latency,
  title={Latency and liquidity risk},
  author={Cartea, {\'A}lvaro and Jaimungal, Sebastian and S{\'a}nchez-Betancourt, Leandro},
  journal={International Journal of Theoretical and Applied Finance},
  volume={24},
  number={06n07},
  pages={2150035},
  year={2021},
  publisher={World Scientific}
}

  16. Forde, M., Sánchez-Betancourt, L., & Smith, B. (2021). Optimal Trade Execution for Gaussian Signals with Power-law Resilience.
    Quantitative Finance 22 (3), 585-596. 
    @article{forde2022optimal,
  title={Optimal trade execution for Gaussian signals with power-law resilience},
  author={Forde, Martin and S{\'a}nchez-Betancourt, Leandro and Smith, Benjamin},
  journal={Quantitative Finance},
  volume={22},
  number={3},
  pages={585--596},
  year={2022},
  publisher={Taylor \& Francis}
}

  17. Bouzianis, G., Hughston, L. P., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Lévy-Ito Models in Finance.
    Probability Surveys 18, 132-178. 
    @article{bouzianis2021levy,
  title={L{\'e}vy-Ito models in finance},
  author={Bouzianis, George and Hughston, Lane P and Jaimungal, Sebastian and S{\'a}nchez-Betancourt, Leandro},
  journal={Probability Surveys},
  volume={18},
  pages={132--178},
  year={2021}
}

  18. Cartea, Á., & Sánchez-Betancourt, L. (2021). The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets.
    SIAM Journal on Financial Mathematics 12 (1), 254-294. 
    @article{cartea2021shadow,
  title={The shadow price of latency: Improving intraday fill ratios in foreign exchange markets},
  author={Cartea, {\'A}lvaro and S{\'a}nchez-Betancourt, Leandro},
  journal={SIAM Journal on Financial Mathematics},
  volume={12},
  number={1},
  pages={254--294},
  year={2021},
  publisher={SIAM}
}

  19. Hughston, L. P., & Sánchez-Betancourt, L. (2020). Pricing with Variance Gamma Information.
    Risks 8 (4), 105. 
    @article{hughston2020pricing,
  title={Pricing with variance gamma information},
  author={Hughston, Lane P and S{\'a}nchez-Betancourt, Leandro},
  journal={Risks},
  volume={8},
  number={4},
  pages={105},
  year={2020},
  publisher={MDPI}
}

Conference/workshop papers and book chapters
  1. Kang, L., Miao J., Cucuringu, M., & Sánchez-Betancourt, L. (2025). LLM Embedding for Regression Priors.
    6th ACM International Conference on AI in Finance (ICAIF). 
    @inproceedings{Li2025LLM,
author = {Li, Kang and Miao, Jiawei and Cucuringu, Mihai and S\'{a}nchez-Betancourt, Leandro}, 
title = {LLM Embedding for Regression Priors}, year = {2025}, isbn = {9798400722202}, 
publisher = {Association for Computing Machinery}, address = {New York, NY, USA}, 
url = {https://doi.org/10.1145/3768292.3770437}, 
doi = {10.1145/3768292.3770437}, 
booktitle = {Proceedings of the 6th ACM International Conference on AI in Finance}, 
pages = {220–228}, 
numpages = {9}, 
series = {ICAIF '25} 
}

  2. Duran-Martin, G., Sánchez-Betancourt, L., Cartea, Á., & Murphy, K. P. (2025). Martingale Posterior Neural Networks for Fast Sequential Decision Making.
    Conference on Neural Information Processing Systems (Neurips). 
    @inproceedings{duranmartingale,
  title={Martingale Posterior Neural Networks for Fast Sequential Decision Making},
  author={Duran-Martin, Gerardo and S{\'a}nchez-Betancourt, Leandro and Cartea, Alvaro and Murphy, Kevin Patrick},
  booktitle={The Thirty-ninth Annual Conference on Neural Information Processing Systems},
  year={2025}
}

  3. Kang, L., Cucuringu, M., Sánchez-Betancourt, L., & Willi T. (2024). Mixtures of Experts for Scaling up Neural Networks in Order Execution.
    5th ACM International Conference on AI in Finance (ICAIF). 
    @inproceedings{li2024mixtures,
  title={Mixtures of experts for scaling up neural networks in order execution},
  author={Li, Kang and Cucuringu, Mihai and S{\'a}nchez-Betancourt, Leandro and Willi, Timon},
  booktitle={Proceedings of the 5th ACM International Conference on AI in Finance},
  pages={669--676},
  year={2024}
}

  4. Bogdan, A., Sánchez-Betancourt, L., Sarkadi, S., & Ventre C. (2024). Detecting Collective Liquidity Taking Distributions.
    5th ACM International Conference on AI in Finance (ICAIF). 
    @inproceedings{balcau2024detecting,
  title={Detecting Collective Liquidity Taking Distributions},
  author={Balcau, Andrei-Bogdan and S{\'a}nchez-Betancourt, Leandro and Sarkadi, Stefan and Ventre, Carmine},
  booktitle={Proceedings of the 5th ACM International Conference on AI in Finance},
  pages={504--512},
  year={2024}
}

  5. Duran-Martin, G., Altamirano, M., Shestopaloff, A., Sánchez-Betancourt, L., Knoblauch, J., Jones, M., Briol, F-X., & Murphy, K. P. (2024). Outlier-robust Kalman Filtering through Generalised Bayes.
    International Conference on Machine Learning (ICML). 
    @inproceedings{duran2024outlier,
  title={Outlier-robust Kalman Filtering through Generalised Bayes},
  author={Duran-Martin, Gerardo and Altamirano, Matias and Shestopaloff, Alex and S{\'a}nchez-Betancourt, Leandro and Knoblauch, Jeremias and Jones, Matt and Briol, Francois-Xavier and Murphy, Kevin Patrick},
  booktitle={International Conference on Machine Learning},
  pages={12138--12171},
  year={2024},
  organization={PMLR}
}

  6. Jerome, J., Sánchez-Betancourt, L., Savani, R., & Herdegen, M. (2023). Model-based gym environments for limit order book trading.
    4th ACM International Conference on AI in Finance (ICAIF). 
    @inproceedings{jerome2023mbt,
  title={Mbt-gym: Reinforcement learning for model-based limit order book trading},
  author={Jerome, Joseph and S{\'a}nchez-Betancourt, Leandro and Savani, Rahul and Herdegen, Martin},
  booktitle={Proceedings of the Fourth ACM International Conference on AI in Finance},
  pages={619--627},
  year={2023}
}

  7. Höglund, M., Ferrucci, E., Hernández, C., Muguruza Gonzalez, A., Salvi, C., Sánchez-Betancourt, L., & Zhang, Y. (2023). A Neural RDE approach for continuous-time non-Markovian stochastic control problems.
    New Frontiers in Learning, Control, and Dynamical Systems at the International Conference on Machine Learning (ICML). 
    @inproceedings{hoglundneural,
  title={A neural RDE approach for continuous-time non-Markovian stochastic control problems},
  author={H{\"o}glund, Melker and Ferrucci, Emilio and Hern{\'a}ndez, Camilo and Gonzalez, Aitor Muguruza and Salvi, Cristopher and S{\'a}nchez-Betancourt, Leandro and Zhang, Yufei},
  year={2023},
  booktitle={ICML Workshop on New Frontiers in Learning, Control, and Dynamical Systems}
}

  8. Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2023). Reinforcement Learning for Algorithmic Trading.
    Machine Learning and Data Sciences for Financial Markets: A guide to contemporary practices. Edited by C.-A. Lehalle and A. Capponi. Cambridge University Press. 
    @incollection{cartea2023reinforcement,
  author = {Cartea, {\'A}lvaro and Jaimungal, Sebastian and S{\'a}nchez-Betancourt, Leandro},
  title = {Reinforcement Learning for Algorithmic Trading},
  editor = {Charles-Albert Lehalle and Agostino Capponi},
  booktitle = {Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices},
  publisher = {Cambridge University Press},
  year = {2023}
}

Submitted for publication / working papers
  • Baggiani, L., Herdegen, M., Sánchez-Betancourt, L. (2026). Competition between DEXs through Dynamic Fees.
  • Aqsha, A., Bank, P., Sánchez-Betancourt, L. (2026). Solving Linear-Quadratic Stochastic Control Problems with Signatures.
  • Bergault, P., Hafsi, Y., Sánchez-Betancourt, L. (2026). Trading in CEXs and DEXs with Priority Fees and Stochastic Delays.
  • Chilenje, N., Daba, M., Feleppa, D., Fellner, C., Sánchez-Betancourt, L. (2025). Market Making with Competition.
  • Bergault, P., Bieber, S., Sánchez-Betancourt, L. (2025). Optimal Exit Time for Liquidity Providers in Automated Market Makers.
  • Baggiani, L., Herdegen, M., Sánchez-Betancourt, L. (2025). Optimal Dynamic Fees in Automated Market Makers.
  • Aqsha, A., Bergault, P., Sánchez-Betancourt, L. (2025). Equilibrium Reward for Liquidity Providers in Automated Market Makers.
  • Cartea, Á., & Sánchez-Betancourt, L. (2025). A Simple Strategy to Deal with Toxic Flow.
  • Barucci, E., Mathieu, A., & Sánchez-Betancourt, L. (2025). Market Making with Fads, Informed, and Uninformed Traders.
  • Aqsha, A., Drissi, F., Sánchez-Betancourt, L. (2024). Strategic Learning and Trading in Broker-Mediated Markets.
  • Cartea, Á., Drissi, F., Sánchez-Betancourt, L., Siska, D., & Szpruch, L. (2024). Strategic Bonding Curves in Automated Market Makers.
  • Cohen, S. N., Sánchez-Betancourt, L., & Szpruch, L. (2023). The Economics of Interest Rate Models in Decentralised Lending Protocols.
DPhil Thesis
  • Sánchez-Betancourt, L. (2021). Uncertain Execution in Order-driven Markets. PhD Thesis, University of Oxford. 
    @phdthesis{sanchez2021uncertain,
  author = {S{\'a}nchez-Betancourt, Leandro},
  title={Uncertain execution in order-driven markets},
  year={2021},
  school={University of Oxford}
}
Working projects
  • There are a number of projects that I am pursuing in collaboration with other researchers. Some of the topics we are currently exploring are: (i) internalisation and externalisation of toxic flow, (ii) market simulators, (iii) stochastic games in algorithmic trading, and (iv) automated market makers. If you are interested in collaborating please let me know.