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Álvaro Cartea

SSRN Author Rank: 358 by Downloads and 4,875 by Citations

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University of Oxford


 Mansfield Road
 Oxford, Oxfordshire OX1 4AU
 United Kingdom
 email address
 

University of Oxford - Oxford-Man Institute of Quantitative Finance


 Eagle House
 Walton Well Road
 Oxford, Oxfordshire OX2 6ED
 United Kingdom
 email address

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. Álvaro Cartea's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
35,961
Total
Citations
106
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Modeling Asset Prices for Algorithmic and High Frequency Trading | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of Pages in PDF File: 32
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
28 Feb 14
3,560
(1,372)
4

2.  
Buy Low Sell High: A High Frequency Trading Perspective | Show Abstract | Download This Paper | Open PDF in Browser |
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of Pages in PDF File: 37
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Ricci, Jason
University of Toronto, Department of Statistics
Posted:
26 Nov 11
Last Revised:
27 Apr 15
3,160
(1,659)
3

3.   Incl. Electronic Paper
Cartea, Álvaro
University of Oxford
Penalva, José
Universidad Carlos III, Madrid - Business Economics Department
Posted:
21 Nov 10
Last Revised:
11 Mar 13
2,904
(2,521)
16

4.  
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Number of Pages in PDF File: 29
Cartea, Álvaro
University of Oxford
Figueroa, Marcelo G.
University of London - Birkbeck College
Posted:
04 Oct 06
2,665
(2,725)
34

5.   Incl. Electronic Paper
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
10 Jun 15
1,844
(5,556)
1

6.  
Cross-Commodity Analysis and Applications to Risk Management | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Futures Markets, Vol. 29, No. 3, January 2009
Number of Pages in PDF File: 20
Boerger, Reik H.
RWE AG
Cartea, Álvaro
University of Oxford
Kiesel, Ruediger
University of Duisburg-Essen - Faculty of Economic Science
Schindlmayr, Gero
affiliation not provided to SSRN
Posted:
18 Apr 07
Last Revised:
16 Nov 09
1,800
(5,522)
2

7.  
Benth, Fred Espen
University of Oslo
Cartea, Álvaro
University of Oxford
Kiesel, Ruediger
University of Duisburg-Essen - Faculty of Economic Science
Posted:
01 Nov 06
Last Revised:
11 Mar 13
1,472
(7,829)
15

8.  
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance 32, Issue 12, (2008), pp. 2502-2519
Number of Pages in PDF File: 55
Cartea, Álvaro
University of Oxford
Villaplana, Pablo
Comisión Nacional de Energía
Posted:
25 Oct 07
Last Revised:
11 Mar 13
1,378
(8,491)
6

9.  
Cartea, Álvaro
University of Oxford
Posted:
04 Oct 06
Last Revised:
11 Mar 13
1,174
(11,473)
9

10.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Posted:
01 Jan 14
Last Revised:
13 Oct 15
1,048
(7,162)
 

11.  
Cartea, Álvaro
University of Oxford
Donnelly, Ryan Francis
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Aug 13
Last Revised:
29 Dec 14
823
(14,511)
1

12.  
Modelling Electricity Prices with Forward Looking Capacity Constraints | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122
Number of Pages in PDF File: 36
Cartea, Álvaro
University of Oxford
Figueroa, Marcelo G.
University of London - Birkbeck College
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Posted:
26 Jan 08
Last Revised:
11 Mar 13
780
(21,260)
4

13.  
Cartea, Álvaro
University of Oxford
Posted:
05 Oct 06
658
(26,213)
1

14.  
Optimal Execution with Limit and Market Orders | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Volume 15, Issue 8, 2015
Number of Pages in PDF File: 24
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
19 Feb 14
Last Revised:
01 Sep 15
611
(18,224)
 

15.  
Option Pricing with Levy-Stable Processes Generated by Levy-Stable Integrated Variance | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409,
Number of Pages in PDF File: 30
Cartea, Álvaro
University of Oxford
Howison, Sam
University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Posted:
02 Oct 07
Last Revised:
11 Mar 13
573
(32,592)
1

16.  
Algorithmic Trading of Co-Integrated Assets | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Forthcoming
Number of Pages in PDF File: 17
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
01 Aug 15
Last Revised:
24 May 16
556
(8,333)
 

17.  
Cartea, Álvaro
University of Oxford
Posted:
04 Oct 06
Last Revised:
11 Mar 13
509
(36,270)
1

18.  
Cartea, Álvaro
University of Oxford
Karyampas, Dimitris
ICMA, University of Reading
Posted:
18 Nov 09
Last Revised:
08 May 14
443
(42,297)
1

19.  
Volatility and Covariation of Financial Assets: A High-Frequency Analysis | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance 35(12), December 2011, p 3319-3334
Number of Pages in PDF File: 52
Cartea, Álvaro
University of Oxford
Karyampas, Dimitris
ICMA, University of Reading
Posted:
11 Feb 09
Last Revised:
11 Mar 13
368
(54,329)
2

20.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
20 Nov 11
Last Revised:
01 May 15
335
(48,121)
1

21.  
How Duration Between Trades of Underlying Securities Affects Option Prices | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Finance, Volume 14, Issue 4, October 2010, p 749-785
Number of Pages in PDF File: 49
Cartea, Álvaro
University of Oxford
Meyer-Brandis, Thilo
University of Oslo
Posted:
27 Nov 07
Last Revised:
11 Mar 13
335
(62,692)
3

22.  
How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach | Show Abstract | Download This Paper | Open PDF in Browser |
Energy Economics, Vol. 34, No. 1, pp. 14–30, January 2012,
Number of Pages in PDF File: 36
Cartea, Álvaro
University of Oxford
G. Pedraz, Carlos
Universidad Carlos III de Madrid
Posted:
14 Jul 10
Last Revised:
11 Mar 13
306
(65,742)
4

23.  
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, Volume 19, Issue 6, 2012, 535-552
Number of Pages in PDF File: 23
Cartea, Álvaro
University of Oxford
Karyampas, Dimitris
ICMA, University of Reading
Posted:
10 Jan 12
Last Revised:
11 Mar 13
286
(71,899)
1

24.  
Incorporating Order-Flow into Optimal Execution | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematics and Financial Economics, Forthcoming
Number of Pages in PDF File: 28
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
31 Jan 15
Last Revised:
08 Feb 16
255
(41,077)
 

25.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
22 Jan 15
245
(60,061)
 

26.  
Cartea, Álvaro
University of Oxford
Payne, Richard
City University London - Sir John Cass Business School
Penalva, José
Universidad Carlos III, Madrid - Business Economics Department
Tapia, Mikel
Universidad Carlos III de Madrid - Department of Business Administration
Posted:
11 Jun 15
Last Revised:
08 Apr 16
237
(57,429)
 

27.  
Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Volume13 (1), 2013, Pages 111-123
Number of Pages in PDF File: 32
Cartea, Álvaro
University of Oxford
Posted:
25 Mar 10
Last Revised:
11 Mar 13
235
(87,827)
1

28.  
Cartea, Álvaro
University of Oxford
Villaplana, Pablo
Comisión Nacional de Energía
Posted:
07 Sep 12
223
(91,287)
 

29.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
24 Dec 14
Last Revised:
27 Jan 15
221
(52,042)
 

30.  
Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Empirical Finance, Volume 19, Issue 5, December 2012, Pages 721–740,
Number of Pages in PDF File: 34
Cartea, Álvaro
University of Oxford
Saúl, Jonatan
Universidad Carlos III de Madrid
Toro, Juan
Fundación Instituto de Empresa, S.L. - IE Business School
Posted:
12 Feb 11
Last Revised:
11 Mar 13
218
(98,315)
 

31.  
Cartea, Álvaro
University of Oxford
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
204
(85,362)
 

32.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Walton, Jamie
University College London - Department of Mathematics
Posted:
15 Jul 15
Last Revised:
05 Aug 16
137
(46,825)
 

33.  
Model Uncertainty in Commodity Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming: SIAM Journal of Financial Mathematics
Number of Pages in PDF File: 40
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Qin, Zhen
University of Toronto - Department of Statistics
Posted:
16 May 15
Last Revised:
16 Oct 15
103
(99,630)
 

34.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Ricci, Jason
University of Toronto, Department of Statistics
Posted:
25 Sep 15
45
(88,596)
 

35.  
Cartea, Álvaro
University of Oxford
Gan, Luhui
University of Toronto
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
28 Oct 15
0
(92,456)
 

36.  
Cartea, Álvaro
University of Oxford
Donnelly, Ryan Francis
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
03 Oct 15
Last Revised:
14 Oct 15
0
(15,081)
 


Records 1 - 36 of 36 matches
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