Research

Cartea, Á., Drissi, F., & Monga, M. Decentralised finance and automated market making: Predictable loss and optimal liquidity provision.
2024. SIAM Journal on Financial Mathematics. link.

Cartea, Á., Drissi, F., & Monga, M. Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets.
2023. Applied Mathematical Finance. link, code.

Drissi, F. Solvability of differential Riccati equations and applications to algorithmic trading with signals.
2022. Applied Mathematical Finance link.

Bergault, P., Drissi, F., & Guéant, O. Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics.
2022. SIAM Journal on Financial Mathematics. link.

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.

Cartea, Á., Drissi, F., Sánchez-Betancourt, L., Siska, D., & Szpruch, L. Automated Market Makers Designs Beyond Constant Functions.
2023. SSRN. link.

Cartea, Á., Drissi, F., & Osselin, P. Bandits for algorithmic trading with signals.
2023. R&R Quantitative Finance. link.

Cartea, Á., Drissi, F., & Monga, M. Decentralised finance and automated market making: Execution and speculation.
2022. R&R Journal of Economic Dynamics and Control. link.