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Fayçal Drissi
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Year
Decentralised finance and automated market making: Predictable loss and optimal liquidity provision
Á Cartea, F Drissi, M Monga
arXiv preprint arXiv:2309.08431, 2023
262023
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
P Bergault, F Drissi, O Guéant
SIAM Journal on Financial Mathematics 13 (1), 353-390, 2022
212022
Decentralised finance and automated market making: Execution and speculation
Á Cartea, F Drissi, M Monga
arXiv preprint arXiv:2307.03499, 2023
182023
Solvability of differential riccati equations and applications to algorithmic trading with signals
F Drissi
Applied Mathematical Finance 29 (6), 457--493, 2023
8*2023
Execution and statistical arbitrage with signals in multiple automated market makers
Á Cartea, F Drissi, M Monga
IEEE 43rd International Conference on Distributed Computing Systems, 37-42, 2023
82023
Automated market makers designs beyond constant functions
Á Cartea, F Drissi, L Sánchez-Betancourt, D Siska, L Szpruch
Available at SSRN 4459177, 2023
62023
Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
Á Cartea, F Drissi, M Monga
Applied Mathematical Finance, 2023
52023
Bandits for algorithmic trading with signals
Á Cartea, F Drissi, P Osselin
Available at SSRN 4484004, 2023
52023
Models of market liquidity: Applications to traditional markets and automated market makers
F Drissi
Available at SSRN 4424010, 2023
42023
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Articles 1–9