Publications

Optimal Execution among N Traders with Transient Price Impact

We derive explicit equilibria in an N-player optimal execution game with an OW model of price impact and resolve a decade-old puzzle in the literature related to the erratic strategies that arise in discrete-trading games.

Steven Campbell, Marcel Nutz

Efficient Convex PCA with applications to Wasserstein GPCA and ranked data

We contribute to the theoretical and computational development of Convex PCA, and present some applications of independent interest in SPT.

Steven Campbell, Ting-Kam Leonard Wong

A Bayesian sequential soft classification problem for a Brownian motion's drift

We study a soft classification analogue of the classical sequential testing problem for the drift of a Brownian motion.

Steven Campbell, Yuchong Zhang

Macroscopic properties of equity markets: stylized facts and portfolio performance

We take a macroscopic perspective on the US equity market and provide a new set of stylized facts.

Steven Campbell, Qien Song, Ting-Kam Leonard Wong

A mean field game of sequential testing

We study an optimal stopping mean field game with filtering and common noise based on the classic Bayesian sequential testing problem for the drift of a Brownian motion.

Steven Campbell, Yuchong Zhang

Functional portfolio optimization in Stochastic Portfolio Theory

In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory.

Steven Campbell, Ting-Kam Leonard Wong

Deep learning for principal-agent mean field games

In this paper we develop a deep learning algorithm for solving Principal-Agent (PA) mean field games with market-clearing conditions.

Steven Campbell, Yichao Chen, Arvind Shrivats, Sebastian Jaimungal

Lattice star and acyclic branched polymer vertex exponents in 3d

We estimate lattice star vertex exponents and test the scaling relations for some acyclic branched lattice networks in 3D.

Steven Campbell, EJ Janse van Rensburg

Numerical Estimates of Square Lattice Star Vertex Exponents

We estimate lattice star vertex exponents and test the scaling relations for some acyclic branched lattice networks in 2D.

Steven Campbell, EJ Janse van Rensburg

We develop and implement a parallel flatPERM algorithm to sample self=avoiding walks in two and three dimensions.

Steven Campbell, EJ Janse van Rensburg