no code implementations • 10 Jan 2024 • Philippe Bergault, Leandro Sánchez-Betancourt
In the finite player game, the informed traders observe a common signal and a private signal.
no code implementations • 10 Dec 2023 • Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
This paper develops a framework to predict toxic trades that a broker receives from her clients.
no code implementations • 21 Jan 2022 • George Bouzianis, Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader.
no code implementations • 17 Mar 2020 • Lane P. Hughston, Leandro Sánchez-Betancourt
A cash flow $H_T$ is taken to depend on the market factor $X_T$, and one considers the valuation of a financial asset that delivers $H_T$ at $T$.
no code implementations • 8 Aug 2019 • Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
The interaction between the LOB and MLOs is modelled as a marked point process.
no code implementations • 19 Jul 2019 • George Bouzianis, Lane P. Hughston, Sebastian Jaimungal, Leandro Sánchez-Betancourt
We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure.
