Publications

• Álvaro Cartea, Fayçal Drissi, Marcello Monga (2025). Decentralised finance and automated market making: Execution and speculation.
  Journal of Economic Dynamics and Control. link.

Working papers

• Agostino Capponi, Álvaro Cartea, Fayçal Drissi (2025). The Viability of Blockchain Markets under Discrete Clearing and Paid Priority. link.
• Fayçal Drissi, Zachary Feinstein, Basil Williams (2026). Liquid Staking and the Limits of Policy. link.

Publications

• Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska, Lukasz Szpruch (2026). Strategic bonding curves in automated market makers.
  Minor revision - Mathematics of Operations Research. link.
• Álvaro Cartea, Fayçal Drissi, Marcello Monga (2024). Decentralised finance and automated market making: Predictable loss and optimal liquidity provision.
  SIAM Journal on Financial Mathematics. link.
• Álvaro Cartea, Fayçal Drissi, Marcello Monga (2023). Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets.
  Applied Mathematical Finance. link, code
• Fayçal Drissi (2022). Solvability of differential Riccati equations and applications to algorithmic trading with signals.
  Applied Mathematical Finance link.
• Philippe Bergault, Fayçal Drissi, Guéant O. (2022). Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics.
  SIAM Journal on Financial Mathematics. link.

Working papers

• Alif Aqsha, Fayçal Drissi, Leandro Sánchez-Betancourt (2024). Strategic learning and trading in broker-mediated markets. link.
• Fayçal Drissi, Jaimungal S., Xuchen Wu(2025). Equilibrium Liquidity and Risk Offsetting in Decentralised Markets link.

• Álvaro Cartea, Fayçal Drissi, Gianluca Palmari (2024). Multi-Task Gaussian Process Bandits for Regime-Switching in Optimal Execution.
  R&R SIAM Journal on Financial Mathematics. link, code
• Harrison Waldon, Fayçal Drissi, Yannick Limmer, Uljad Berdica, Jakob Foerster, Álvaro Cartea DARE: The Deep Adaptive Regulator for Control of Uncertain Continuous-Time Systems.
  2024. ICML 2024 Workshop: Foundations of Reinforcement Learning and Control--Connections and Perspectives link.
• Álvaro Cartea, Fayçal Drissi, Marcello Monga Execution and statistical arbitrage with signals in multiple automated market makers.
  2023. IEEE 43rd International Conference on Distributed Computing Systems. link.