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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


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


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


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


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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