The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. - Álvaro Cartea; Leandro Sánchez-Betancourt (SIAM J. Financial Math., 2021)

Model-based gym environments for limit order book trading. - Joseph Jerome; Leandro Sánchez-Betancourt; Rahul Savani; Martin Herdegen (CoRR, 2022)

Double-Execution Strategies Using Path Signatures. - Álvaro Cartea; Imanol Pérez Arribas; Leandro Sánchez-Betancourt (SIAM J. Financial Math., 2022)

Mbt-gym: Reinforcement learning for model-based limit order book trading. - Joseph Jerome; Leandro Sánchez-Betancourt; Rahul Savani; Martin Herdegen (ICAIF, 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 001 (CoRR, 2023)

Detecting Toxic Flow. - Álvaro Cartea; Gerardo Duran-Martin; Leandro Sánchez-Betancourt (CoRR, 2023)

Detecting Collective Liquidity Taking Distributions. - Andrei-Bogdan Balcau; Leandro Sánchez-Betancourt; Stefan Sarkadi; Carmine Ventre (ICAIF, 2024)

Mixtures of Experts for Scaling up Neural Networks in Order Execution. - Kang Li; Mihai Cucuringu; Leandro Sánchez-Betancourt; Timon Willi (ICAIF, 2024)

Outlier-robust Kalman Filtering through Generalised Bayes. - Gerardo Duran-Martin; Matías Altamirano; Alexander Y. Shestopaloff; Leandro Sánchez-Betancourt; Jeremias Knoblauch; Matt Jones 002; François-Xavier Briol; Kevin Patrick Murphy (ICML, 2024)

BONE: a unifying framework for Bayesian online learning in non-stationary environments. - Gerardo Duran-Martin; Leandro Sánchez-Betancourt; Alexander Y. Shestopaloff; Kevin Murphy 002 (CoRR, 2024)

Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. - Sebastian Jaimungal; Silvana M. Pesenti; Leandro Sánchez-Betancourt (SIAM J. Control. Optim., 2024)

A Mean Field Game between Informed Traders and a Broker. - Philippe Bergault; Leandro Sánchez-Betancourt (SIAM J. Financial Math., 2025)

Market Making with Exogenous Competition. - Robert Boyce; Martin Herdegen; Leandro Sánchez-Betancourt (SIAM J. Financial Math., 2025)

Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals. - Álvaro Cartea; Leandro Sánchez-Betancourt (SIAM J. Financial Math., 2025)

A unifying framework for generalised Bayesian online learning in non-stationary environments. - Gerardo Duran-Martin; Leandro Sánchez-Betancourt; Alexander Y. Shestopaloff; Kevin Patrick Murphy (Trans. Mach. Learn. Res., 2025)

Scalable Generalized Bayesian Online Neural Network Training for Sequential Decision Making. - Gerardo Duran-Martin; Leandro Sánchez-Betancourt; Álvaro Cartea; Kevin Murphy 002 (CoRR, 2025)