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Posts

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conferences

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.
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portfolio

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publications

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.

Drissi, F. Solvability of differential Riccati equations and applications to algorithmic trading with signals.
2022. Applied Mathematical Finance
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Cartea, Á., Drissi, F., & Monga, M. Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets.
2023. Applied Mathematical Finance.
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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.

talks

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teaching

Graduate course, Université Paris 1 Panthéon‑Sorbonne, 2022

This course introduces students to object-oriented programming by exploring the concepts of program specification and design, algorithm development, coding, and testing, with applications to designing a financial pricing library with pricing algorithms for vanilla and path-dependent options.

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Graduate course, University of Oxford - Mathematical and Computational Finance MSc, 2024

This course covers different models of Algorithmic and High Frequency trading for optimal execution and optimal market making.

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workingpapers

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