.
Cartea, Álvaro's
Scholarly Papers
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Aggregate Statistics
Total 18,554
Total Citations 89
1.
Cartea, Álvaro University College London
Figueroa, Marcelo G. University of London - Birkbeck College
2,352(2,143)
32
Energy derivatives, electricity, forward curve
2.
Cartea, Álvaro University College London
Jaimungal, Sebastian University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
07 Jan 13
2,271(2,269)
1
High Frequency Traders, Algorithmic Trading, Durations, Hidden Markov Model
3.
Where is the Value in High Frequency Trading?
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Cartea, Álvaro University College London
Penalva, José Universidad Carlos III, Madrid - Business Economics Department
Posted:
21 Nov 10
Last Revised:
11 Mar 13
2,083(2,655)
12
Cartea, Álvaro University College London
Penalva, José Universidad Carlos III, Madrid - Business Economics Department
Posted:
01 Jun 11
Last Revised:
11 Mar 13
243
12
High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure, microstructure volatility, execution costs, market quality
Cartea, Álvaro University College London
Penalva, José Universidad Carlos III, Madrid - Business Economics Department
Posted:
21 Nov 10
Last Revised:
17 Feb 12
1,840
12
High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure, microstructure volatility, execution costs, market quality
4.
Boerger, Reik H. RWE AG
Cartea, Álvaro University College London
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
1,652(3,925)
2
Commodity, Hedging, Risk Management, Power Plant
5.
Cartea, Álvaro University College London
Jaimungal, Sebastian University of Toronto - Department of Statistics
Ricci, Jason University of Toronto, Department of Statistics
Posted:
26 Nov 11
Last Revised:
31 Dec 12
1,492(4,718)
1
Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes processes
6.
Benth, Fred Espen University of Oslo
Cartea, Álvaro University College London
Kiesel, Ruediger University of Duisburg-Essen - Faculty of Economic Science
Posted:
01 Nov 06
Last Revised:
11 Mar 13
1,379(5,416)
14
Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias
7.
Cartea, Álvaro University College London
Villaplana, Pablo Comisión Nacional de Energía
Posted:
25 Oct 07
Last Revised:
11 Mar 13
1,269(6,249)
6
power prices, demand, capacity, forward premium, forward bias, market price of capacity risk, market price of demand risk, PJM, England and Wales, Nord Pool
8.
Cartea, Álvaro University College London
Posted:
04 Oct 06
Last Revised:
11 Mar 13
1,079(8,200)
8
Interruptible supply contracts, gas markets, commodities, market price ofshort-term and long-term risk, multi-exercise Bermudan options, convenience yield
9.
Cartea, Álvaro University College London
Jaimungal, Sebastian University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
05 Oct 12
850(11,985)
Algorithmic Trading, High Frequency Trading, Momentum Trading, Market Impact, Adverse Selection, Risk Metrics, Inventory Risk
10.
Cartea, Álvaro University College London
Figueroa, Marcelo G. University of London - Birkbeck College
Geman, Hélyette University of London, Birkbeck College - School of Economics, Mathematics and Statistics
Posted:
26 Jan 08
Last Revised:
11 Mar 13
720(15,345)
4
capacity constraints, mean reversion, electricity, indicated demand, electricity indicated generation, regime switching model
11.
Cartea, Álvaro University College London
611(19,487)
1
Delta hedging, Gamma Hedging, Jump Processes, Portfolio Hedging
12.
Cartea, Álvaro University College London
Howison, Sam University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Posted:
02 Oct 07
Last Revised:
11 Mar 13
527(23,806)
stable processes, Lévy, jumps, implied volatility, jumps
13.
Cartea, Álvaro University College London
Posted:
04 Oct 06
Last Revised:
11 Mar 13
464(28,129)
1
Fractional-Black-Scholes, Lévy-Stable processes, FMLS, KoBoL
14.
Cartea, Álvaro University College London
Karyampas, Dimitris UBS AG
Posted:
18 Nov 09
Last Revised:
14 May 11
345(40,867)
volatility forecasts, high-frequency data, implied volatility, VIX, jumps, microstructure noise
15.
Cartea, Álvaro University College London
Meyer-Brandis, Thilo University of Oslo
Posted:
27 Nov 07
Last Revised:
11 Mar 13
292(49,740)
3
Duration between trades, waiting-times, stochastic volatility, operational clock, transaction time, high frequency data
16.
Cartea, Álvaro University College London
Karyampas, Dimitris UBS AG
Posted:
11 Feb 09
Last Revised:
11 Mar 13
282(51,803)
1
17.
Cartea, Álvaro University College London
González-Pedraz, Carlos Universidad Carlos III de Madrid
Posted:
14 Jul 10
Last Revised:
11 Mar 13
227(65,682)
2
Real options, bull call spread, interconnector, electricity prices, jumps, jump filter
18.
Cartea, Álvaro University College London
Karyampas, Dimitris UBS AG
Posted:
10 Jan 12
Last Revised:
11 Mar 13
206(72,628)
volatility, high-frequency data, jumps, microstructure noise
19.
Cartea, Álvaro University College London
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
178(83,692)
Portfolio Choice in Real Terms, Treasury Inflation Indexed Securities (TIPS), Buy-and-hold Long-term Investors, Money Illusion
20.
Cartea, Álvaro University College London
Posted:
25 Mar 10
Last Revised:
11 Mar 13
169(87,906)
1
Tick-by-tick data, waiting-times, duration, high frequency data, Caputo operator, marked point process
21.
Cartea, Álvaro University College London
Villaplana, Pablo Comisión Nacional de Energía
106(129,770)
Electricity forward premia, forward risk premium, electricity prices
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