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Articles

Explore my academic articles and discover my research interests and contributions to mathematical finance and algorithmic trading. Finally, I thank my co-authors, Rene Carmona, Johannes Muhle-Karbe, Nick Westray, Jean-Philippe Bouchaud, Marcel Nutz, Iacopo Mastromatteo, Petter Kolm, and Zexin Wang, for their invaluable contributions and unwavering support throughout the research and writing process.

6 Nov 2023

Trading with Concave Price Impact and Impact Decay - Theory and Evidence

Nonlinear price impact, optimal trading

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22 Oct 2023

Unwinding Stochastic Order Flow: When to Warehouse Trades

Internalization, Optimal Execution, Price Impact, Central Risk Book, Market Making

31 May 2023

The Cost of Misspecifying Price Impact

Nonlinear price impact, model misspecification, optimal trading

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23 Jan 2023

Do You Really Know Your P&L? The Importance of Impact-Adjusting the P&L

Algorithmic Trading, Best Execution, Liquidity Risk, Optimal Execution, Portfolio Management, Price Impact, Scenario Analysis, Trading, Trading Footprint

18 Jul 2022

Getting More for Less -
Better A/B Testing via Causal Regularization

Algorithmic Trading, A/B Testing, Best Execution, Optimal Execution, Trading, Transaction Cost Analysis

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11 Dec 2022

Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Nonlinear Price Impact, Propagator Models, Continuous-Time Limit

28 Mar 2022

A Leland Model for Delta Hedging in Central Risk Books

Market Microstructure, Market Making, Central Risk Book, Limit Orders, Adverse Selection

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4 Sep 2017

Information and Inventories in High-Frequency Trading

High Frequency Trading, Information Asymmetry, Inventory Management

10 Dec 2013

The Self-Financing Equation in High Frequency Markets

High Frequency Trading, Self-Financing Condition, Limit Order Book

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