We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled. We...

We study (backward) stochastic differential equations with noise coming from a finite state Markov chain. We show that, for the solutions of these equations to be `Markovian', in the sense that they are deterministic functions of the state of the underlying chain, the integrand must be of a...

In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for the joint dynamics of multiple European options on a single underlying. We subsequently demonstrate its use as a risk simulation engine for option portfolios. Through...

We build statistical models to describe how market participants choose the direction, price, and volume of orders. Our dataset, which spans sixteen weeks for four shares traded in Euronext Amsterdam, contains all messages sent to the exchange and includes algorithm identification and member...

We present a holistic framework for risk and reward management for decentralised lending protocols, such as AAVE or Compound. This framework highlights tensions and trade-offs in protocol design and the choice of various risks and incentives parameters.Using this, we identify the fundamental...