Research

Here is a list of my latest research.

Research papers

Published/accepted journal papers

1. Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2025+). Nash Equilibrium between Brokers and Traders.
   Finance and Stochastics, to appear. Link.
   
2. Boyce, R., Herdegen, M., & Sánchez-Betancourt, L. (2025). Market Making with Exogenous Competition.
   SIAM Journal on Financial Mathematics 16 (2), 692-706. Link.
   
3. 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. Link.
   
4. 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. Link.
   
5. 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. Link.
   
6. 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 Link.
   
7. 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 Link.
   
8. 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. Link.
   
9. 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. Link.
   
10. Bellani, C., Brigo, D., Pakkanen, M. S., & Sánchez-Betancourt, L. (2023). Price Impact without Averaging.
    Applied Mathematical Finance 30 (4), 175-206. Link. Code.
    
11. Cartea, Á., & Sánchez-Betancourt, L. (2023). Optimal Execution with Stochastic Delay.
    Finance and Stochastics 27 (1), 1-47 Link.
    
12. Cartea, Á., Perez Arribas, I., & Sánchez-Betancourt, L. (2022). Double-Execution Strategies using Path Signatures.
    SIAM Journal on Financial Mathematics 13 (4), 1379–1417 Link. Code.
    
13. Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Latency and Liquidity Risk.
    International Journal of Theoretical and Applied Finance 24 (06n07), 1-37. Link.
    
14. Forde, M., Sánchez-Betancourt, L., & Smith, B. (2021). Optimal Trade Execution for Gaussian Signals with Power-law Resilience.
    Quantitative Finance 22 (3), 585-596. Link.
    
15. Bouzianis, G., Hughston, L. P., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Lévy-Ito Models in Finance.
    Probability Surveys 18, 132-178. Link.
    
16. 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. Link.
    
17. Hughston, L. P., & Sánchez-Betancourt, L. (2020). Pricing with Variance Gamma Information.
    Risks 8 (4), 105. Link
    

Conference/workshop papers and book chapters

1. 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), New York, USA, 2024. Link.
   
2. Bogdan, A., Sánchez-Betancourt, L., Sarkadi, S., & Ventre C. (2024). Detecting Collective Liquidity Taking Distributions.
   5th ACM International Conference on AI in Finance (ICAIF), New York, USA, 2024. Link.
   
3. 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), Viena, Austria, 2024. Link.
   
4. 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), New York, USA, 2023. Link. Code.
   
5. 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), Honolulu, Hawaii, USA, 2023. Link.
   
6. 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. Link.
   

Submitted for publication

• Baggiani, L., Herdegen, M., Sánchez-Betancourt, L. (2025). Optimal Dynamic Fees in Automated Market Makers. Link.
• Aqsha, A., Bergault, P., Sánchez-Betancourt, L. (2025). Equilibrium Reward for Liquidity Providers in Automated Market Makers. Link.
• Cartea, Á., & Sánchez-Betancourt, L. (2025). A Simple Strategy to Deal with Toxic Flow. Link.
• Barucci, E., Mathieu, A., & Sánchez-Betancourt, L. (2025). Market Making with Fads, Informed, and Uninformed Traders. Link.
• Cartea, Á., Bhudisaksang, T., & Sánchez-Betancourt, L. (2025). Adaptive-Robust Portfolio Optimisation. Link.
• Aqsha, A., Drissi, F., Sánchez-Betancourt, L. (2024). Strategic Learning and Trading in Broker-Mediated Markets. Link.
• Cartea, Á., Drissi, F., Sánchez-Betancourt, L., Siska, D., & Szpruch, L. (2024). Strategic Bonding Curves in Automated Market Makers. Link. Code.
• Cohen, S. N., Sánchez-Betancourt, L., & Szpruch, L. (2023). The Economics of Interest Rate Models in Decentralised Lending Protocols. Link.
• Cartea, Á., Duran-Martin, G., & Sánchez-Betancourt, L. (2023). Detecting Toxic Flow. Link.

DPhil Thesis

• Sánchez-Betancourt, L. (2021). Uncertain Execution in Order-driven Markets. PhD Thesis, University of Oxford. Link.

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) classification of agents, and (iv) benchmarks for algorithmic trading strategies. If you are interested in collaborating please let me know.