Research

Publications

• Cartea Á., Drissi F., & Monga M. (2025). Decentralised finance and automated market making: Execution and speculation.
  Journal of Economic Dynamics and Control. link.
• Cartea Á., Drissi F., & Monga M (2024). Decentralised finance and automated market making: Predictable loss and optimal liquidity provision.
  SIAM Journal on Financial Mathematics. link.
• Cartea Á., Drissi F., & Monga M. (2023). Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets.
  Applied Mathematical Finance. link, code
• Drissi F. (2022). Solvability of differential Riccati equations and applications to algorithmic trading with signals.
  Applied Mathematical Finance link.
• Bergault P., Drissi F., & Guéant O. (2022). Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics.
  SIAM Journal on Financial Mathematics. link.

Working papers

• Drissi F., Jaimungal S., & Wu X. (2025). Equilibrium Liquidity and Risk Offsetting in Decentralised Markets
  SSRN. link.
• Capponi A., Cartea Á., & Drissi F. (2025). Do longer block times impair market efficiency in ddecentralized markets?
  SSRN. link.
• Aqsha A., Drissi F., & Sánchez-Betancourt L. (2024). Strategic learning and trading in broker-mediated markets.
  SSRN. link.
• Cartea Á., Drissi F., Sánchez-Betancourt L., Siska D., & Szpruch L. (2024). Strategic bonding curves in automated market makers.
  2nd round Mathematics of Operations Research. link.
• Cartea Á., Drissi F., & Palmari G. (2024). Multi-Task Gaussian Process Bandits for Regime-Switching in Optimal Execution.
  R&R SIAM Journal on Financial Mathematics. link, code

Conference proceedings

• Waldon, H., Drissi, F., Limmer, Y., Berdica, U., Foerster, J. N., & Cartea, A. 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.
• Cartea, Á., Drissi, F., & Monga, M. Execution and statistical arbitrage with signals in multiple automated market makers.
  2023. IEEE 43rd International Conference on Distributed Computing Systems. link.