Research Papers

This is a selection of research papers I authored or co-authored.

• Portfolio Management and Optimal Execution via Convex Optimization, E. Busseti, Ph.D. thesis, Stanford University, 2018; composed of the following three papers

  • Multi–Period Trading via Convex Optimization, S. Boyd, E. Busseti, S. Diamond, R. Kahn, K. Koh, P. Nystrup, J. Speth (alphabetical order), Foundations and Trends in Optimization, 2017

  • Risk–Constrained Kelly Gambling, E. Busseti, E. Ryu, S. Boyd, Journal of Investing, 2016

  • Volume Weighted Average Price Optimal Execution, E. Busseti, S. Boyd, Technical Report, Stanford University, 2015

• Differentiating through a Cone Program, A. Agrawal, S. Barratt, S. Boyd, E. Busseti, W. Moursi (alphabetical order), Journal of Applied and Numerical Optimization, 2019

• Solution Refinement at Regular Points of Conic Problems, E. Busseti, W. Moursi, S. Boyd, Computational Optimization and Applications, 2018

• Dynamic Energy Management, N. Moehle, E. Busseti, S. Boyd, M. Wytock, Computational Optimization and Applications, 2018

• Douglas–Rachford splitting for Cardinality Constrained Quadratic Programming, E. Busseti, H. Javadi, R. Takapoui (alphabetical order), Technical Report, Stanford University, 2015

• Deep Learning for Time Series Modeling, E. Busseti, I. Osband, S. Wong (alphabetical order), Technical Report, Stanford University, 2012

• Calibration of Optimal Execution of Financial Transactions in the Presence of Transient Market Impact, E. Busseti, F. Lillo, Journal of Statistical Mechanics: Theory and Experiment, 2012

Google Scholar account

Most of my papers are indexed on my Google Scholar page.