Álvaro Cartea

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

  • University of Oxford

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

46

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115

Scholarly Papers (46)

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1.

Buy Low Sell High: A High Frequency Trading Perspective

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: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 5,221 (1,327)
Citation 4

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Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes Processes

2.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 5,048 (1,413)
Citation 4

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High Frequency Traders, Algorithmic Trading, Durations, Hidden Markov Model

3.

Where is the Value in High Frequency Trading?

Downloads 3,261 ( 3,047)
Citation 17

Where is the Value in High Frequency Trading?

Number of pages: 54 Posted: 21 Nov 2010 Last Revised: 17 Feb 2012
Álvaro Cartea and José Penalva
University of Oxford and Universidad Carlos III, Madrid - Business Economics Department
Downloads 2,785 (3,920)
Citation 17

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High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure, microstructure volatility, execution costs, market quality

Where is the Value in High Frequency Trading?

Quarterly Journal of Finance, Volume 2 (3), 2012, 1-46
Number of pages: 54 Posted: 01 Jun 2011 Last Revised: 11 Mar 2013
Álvaro Cartea and José Penalva
University of Oxford and Universidad Carlos III, Madrid - Business Economics Department
Downloads 476 (56,892)
Citation 17

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High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure, microstructure volatility, execution costs, market quality

4.

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Number of pages: 29 Posted: 04 Oct 2006
Álvaro Cartea and Marcelo G. Figueroa
University of Oxford and University of London - Birkbeck College
Downloads 3,066 (3,398)
Citation 34

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Energy derivatives, electricity, forward curve

5.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 2,971 (3,574)

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order imbalance, algorithmic trading, high-frequency trading, order flow, market making, adverse selection

6.

Algorithmic Trading with Learning

Number of pages: 28 Posted: 01 Jan 2014 Last Revised: 13 Oct 2015
Álvaro Cartea, Sebastian Jaimungal and Damir Kinzebulatov
University of Oxford, University of Toronto - Department of Statistics and The Fields Institute for Mathematical Sciences
Downloads 2,600 (4,486)

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Algorithmic Trading, High Frequency Trading, Nonlinear Filtering, Brownian Bridge, Stochastic Optimal Control, Adverse Selection

7.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Downloads 2,324 ( 5,435)
Citation 2

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,324 (5,317)
Citation 2

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Algorithmic Trading, High Frequency Trading, Momentum Trading, Market Impact, Adverse Selection, Risk Metrics, Inventory Risk

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
Number of pages: 36 Posted: 09 Jun 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
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Algorithmic Trading, High Frequency Trading, Momentum Trading, Market Impact, Adverse Selection, Risk Metrics, Inventory Risk

8.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,320 (5,444)

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Pairs trading, algorithmic trading, high-frequency trading, co-integration, short-term alpha, stochastic control

9.

Cross-Commodity Analysis and Applications to Risk Management

Journal of Futures Markets, Vol. 29, No. 3, January 2009
Number of pages: 20 Posted: 18 Apr 2007 Last Revised: 16 Nov 2009
Reik H. Boerger, Álvaro Cartea, Ruediger Kiesel and Gero Schindlmayr
RWE AG, University of Oxford, University of Duisburg-Essen - Faculty of Economic Science and affiliation not provided to SSRN
Downloads 1,956 (7,279)
Citation 3

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Commodity, Hedging, Risk Management, Power Plant

10.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 1,735 (8,873)
Citation 1

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market making, algorithmic trading, high frequency trading, robust optimization, ambiguity aversion, Knightian uncertainty, Poisson random measures, short term alpha, adverse selection

11.

Pricing Forward Contracts in Power Markets By the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium

Journal of Banking and Finance 32, Issue 10, (2008), pp. 2006-2021
Number of pages: 29 Posted: 01 Nov 2006 Last Revised: 11 Mar 2013
Fred Espen Benth, Álvaro Cartea and Ruediger Kiesel
University of Oslo, University of Oxford and University of Duisburg-Essen - Faculty of Economic Science
Downloads 1,613 (10,005)
Citation 15

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Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias

12.

Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity

Journal of Banking and Finance 32, Issue 12, (2008), pp. 2502-2519
Number of pages: 55 Posted: 25 Oct 2007 Last Revised: 11 Mar 2013
Álvaro Cartea and Pablo Villaplana
University of Oxford and Comisión Nacional de Energía
Downloads 1,540 (10,777)
Citation 6

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power prices, demand, capacity, forward premium, forward bias, market price of capacity risk, market price of demand risk, PJM, England and Wales, Nord Pool

13.

Optimal Execution with Limit and Market Orders

Quantitative Finance, Volume 15, Issue 8, 2015
Number of pages: 24 Posted: 19 Feb 2014 Last Revised: 01 Sep 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 1,522 (10,999)

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Algorithmic Trading, High Frequency Trading, Optimal Execution, Impulse Control

14.

UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts

Energy Economics, Volume 30, Issue 3, pages 829-846, May 2008
Number of pages: 29 Posted: 04 Oct 2006 Last Revised: 11 Mar 2013
Álvaro Cartea
University of Oxford
Downloads 1,252 (14,955)
Citation 9

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Interruptible supply contracts, gas markets, commodities, market price ofshort-term and long-term risk, multi-exercise Bermudan options, convenience yield

15.

Incorporating Order-Flow into Optimal Execution

Mathematics and Financial Economics, Forthcoming
Number of pages: 28 Posted: 31 Jan 2015 Last Revised: 08 Feb 2016
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 944 (22,863)

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Order-Flow, Algorithmic Trading, High Frequency Trading, Acquisition, Liquidation, Price Impact

16.

Foreign Exchange Markets with Last Look

Mathematics and Financial Economics, Forthcoming
Number of pages: 40 Posted: 15 Jul 2015 Last Revised: 01 May 2018
Álvaro Cartea, Sebastian Jaimungal and Jamie Walton
University of Oxford, University of Toronto - Department of Statistics and University College London - Department of Mathematics
Downloads 879 (25,427)

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Last Look, Foreign Exchange, Latency Arbitrage, Spamming, Spraying, Stale Quotes, Algorithmic Trading, Low Latency Traders, High-Frequency Trading

17.

Modelling Electricity Prices with Forward Looking Capacity Constraints

Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122
Number of pages: 36 Posted: 26 Jan 2008 Last Revised: 11 Mar 2013
Álvaro Cartea, Marcelo G. Figueroa and Hélyette Geman
University of Oxford, University of London - Birkbeck College and University of London - Economics, Mathematics and Statistics
Downloads 861 (26,160)
Citation 4

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capacity constraints, mean reversion, electricity, indicated demand, electricity indicated generation, regime switching model

18.

A Closed-Form Execution Strategy to Target Volume Weighted Average Price

SIAM Journal on Financial Mathematics, Vol. 7, pp. 760–785, (2016)
Number of pages: 32 Posted: 24 Dec 2014 Last Revised: 13 Nov 2016
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 802 (28,890)

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VWAP, POV, TWAP, Algorithmic Trading, High Frequency Trading, Acquisition, Liquidation

19.

Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process

Birbeck Working Paper No. 0508
Number of pages: 47 Posted: 05 Oct 2006
Álvaro Cartea
University of Oxford
Downloads 761 (31,064)
Citation 1

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Delta hedging, Gamma Hedging, Jump Processes, Portfolio Hedging

20.

Option Pricing with Levy-Stable Processes Generated by Levy-Stable Integrated Variance

Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409
Number of pages: 30 Posted: 02 Oct 2007 Last Revised: 11 Mar 2013
Álvaro Cartea and Sam Howison
University of Oxford and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 646 (38,719)
Citation 1

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stable processes, Lévy, jumps, implied volatility, jumps

21.

Trading Cointegrated Assets with Price Impact

Number of pages: 32 Posted: 28 Oct 2015 Last Revised: 15 Jul 2018
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 638 (39,365)

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algorithmic trading, optimal execution, price impact, cointegration, cross price impact

22.

Fractional Diffusion Models of Option Prices in Markets With Jumps

Physica A, 374, pages 749–763, 2007
Number of pages: 29 Posted: 04 Oct 2006 Last Revised: 11 Mar 2013
Álvaro Cartea
University of Oxford
Downloads 621 (40,936)
Citation 1

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Fractional-Black-Scholes, Lévy-Stable processes, FMLS, KoBoL

23.

Irreversible Investments and Ambiguity Aversion

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 27 Posted: 20 Nov 2011 Last Revised: 25 Jul 2017
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 614 (41,447)

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Real Options, Ambiguity Aversion, Risk Aversion, Robust Optimal Control, Indifference Pricing

24.

Order-Flow and Liquidity Provision

Number of pages: 9 Posted: 22 Jan 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 593 (43,437)

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Algorithmic Trading, High Frequency Trading, Market Making, Short Term Alpha, Adverse Selection, Order Flow

25.

The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets

Econometric Reviews, Vol. 35 , Iss. 6,2016
Number of pages: 25 Posted: 18 Nov 2009 Last Revised: 30 Aug 2017
Álvaro Cartea and Dimitris Karyampas
University of Oxford and Bocconi University
Downloads 575 (45,215)
Citation 1

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volatility forecasts, high-frequency data, implied volatility, VIX, jumps, microstructure noise

26.

Ultra-Fast Activity and Intraday Market Quality

Journal of Banking and Finance, Forthcoming
Number of pages: 61 Posted: 11 Jun 2015 Last Revised: 11 Dec 2018
Álvaro Cartea, Richard Payne, José Penalva and Mikel Tapia
University of Oxford, City University London - Sir John Cass Business School, Universidad Carlos III, Madrid - Business Economics Department and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 557 (47,103)

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High Frequency Trading, HFT, Algorithmic Trading, Market Quality, Low Latency

27.

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets

Number of pages: 42 Posted: 18 Jun 2018 Last Revised: 25 Nov 2018
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and University of Oxford
Downloads 554 (47,424)

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latency, fill ratio, high-frequency trading, algorithmic trading

28.

Trading Strategies within the Edges of No-Arbitrage

Number of pages: 37 Posted: 25 Sep 2015
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 519 (51,529)

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Optimal Trading, high-frequency Trading, Algorithmic Trading, Limit Orders, Market Orders, Stochastic Control, Impulse Control, No-arbitrage bounds

29.

Volatility and Covariation of Financial Assets: A High-Frequency Analysis

Journal of Banking and Finance 35(12), December 2011, p 3319-3334
Number of pages: 52 Posted: 11 Feb 2009 Last Revised: 11 Mar 2013
Álvaro Cartea and Dimitris Karyampas
University of Oxford and Bocconi University
Downloads 463 (59,503)
Citation 2

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30.

Model Uncertainty in Commodity Markets

Forthcoming: SIAM Journal of Financial Mathematics
Number of pages: 40 Posted: 16 May 2015 Last Revised: 16 Oct 2015
Álvaro Cartea, Sebastian Jaimungal and Zhen Qin
University of Oxford, University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 410 (68,916)
Citation 1

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Ambiguity aversion, Knightian uncertainty, Commodities, Certainty Equivalent, Robust Pricing, Indifference Pricing, Optimal Control

31.

How Duration Between Trades of Underlying Securities Affects Option Prices

Review of Finance, Volume 14, Issue 4, October 2010, p 749-785
Number of pages: 49 Posted: 27 Nov 2007 Last Revised: 11 Mar 2013
Álvaro Cartea and Thilo Meyer-Brandis
University of Oxford and University of Oslo
Downloads 395 (72,057)
Citation 3

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Duration between trades, waiting-times, stochastic volatility, operational clock, transaction time, high frequency data

32.

How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach

Energy Economics, Vol. 34, No. 1, pp. 14–30, January 2012
Number of pages: 36 Posted: 14 Jul 2010 Last Revised: 11 Mar 2013
Álvaro Cartea and Carlos G. Pedraz
University of Oxford and Universidad Carlos III de Madrid
Downloads 387 (73,805)
Citation 4

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Real options, bull call spread, interconnector, electricity prices, jumps, jump filter

33.

How to Value a Gas Storage Facility

Number of pages: 41 Posted: 13 Jan 2014
Álvaro Cartea, James Cheeseman and Sebastian Jaimungal
University of Oxford, British Petroleum and University of Toronto - Department of Statistics
Downloads 383 (74,728)

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Gas storage, Swing Options, LSMC

34.

Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis

Applied Mathematical Finance, Volume 19, Issue 6, 2012, 535-552
Number of pages: 23 Posted: 10 Jan 2012 Last Revised: 11 Mar 2013
Álvaro Cartea and Dimitris Karyampas
University of Oxford and Bocconi University
Downloads 358 (80,776)
Citation 1

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volatility, high-frequency data, jumps, microstructure noise

35.

Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data

Quantitative Finance, Volume13 (1), 2013, Pages 111-123
Number of pages: 32 Posted: 25 Mar 2010 Last Revised: 11 Mar 2013
Álvaro Cartea
University of Oxford
Downloads 331 (88,393)
Citation 1

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Tick-by-tick data, waiting-times, duration, high frequency data, Caputo operator, marked point process

36.

An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia

Number of pages: 29 Posted: 07 Sep 2012
Álvaro Cartea and Pablo Villaplana
University of Oxford and Comisión Nacional de Energía
Downloads 311 (94,743)

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Electricity forward premia, forward risk premium, electricity prices

37.

Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS

Journal of Empirical Finance, Volume 19, Issue 5, December 2012, Pages 721–740
Number of pages: 34 Posted: 12 Feb 2011 Last Revised: 11 Mar 2013
Álvaro Cartea, Jonatan Saúl and Juan Toro
University of Oxford, Universidad Carlos III de Madrid and Fundación Instituto de Empresa, S.L. - IE Business School
Downloads 278 (106,832)

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Portfolio Choice in Real Terms, Treasury Inflation Indexed Securities (TIPS), Buy-and-hold Long-term Investors, Money Illusion

38.

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders

Number of pages: 30 Posted: 13 Apr 2017
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 238 (125,478)

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Optimal hedging, market impact, impulse control, algorithmic trading, high-frequency trading

39.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 206 (144,321)

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Optimal Execution, Ambiguity Aversion, Model Uncertainty, Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Robust Optimization

40.

Trading Foreign Exchange Triplets

Number of pages: 29 Posted: 18 Oct 2017 Last Revised: 10 Jan 2018
Álvaro Cartea, Sebastian Jaimungal and Tianyi Jia
University of Oxford, University of Toronto - Department of Statistics and University of Toronto
Downloads 186 (158,626)

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Foreign Exchange, Currency Pairs, Optimal Liquidation, Execution, Inventory Aversion, Ambiguity Aversion

41.

Speculative Trading of Electricity Contracts in Interconnected Locations

Number of pages: 33 Posted: 17 Nov 2016
Álvaro Cartea, Sebastian Jaimungal and Zhen Qin
University of Oxford, University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 180 (163,351)

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Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage

42.

Technical Uncertainty in Real Options with Learning

Downloads 160 (181,000)

Technical Uncertainty in Real Options with Learning

Number of pages: 20 Posted: 06 Oct 2014 Last Revised: 24 Jun 2017
Ali Al-Aradi, Álvaro Cartea and Sebastian Jaimungal
University of Toronto - Department of Statistics, University of Oxford and University of Toronto - Department of Statistics
Downloads 160 (181,255)

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Real Options, Irreversible Investment, Technical Uncertainty, Learning

Technical Uncertainty in Real Options with Learning

Journal of Energy Markets, Vol. 11, No. 4, 2018
Number of pages: 24 Posted: 10 Dec 2018
Ali Al-Aradi, Álvaro Cartea and Sebastian Jaimungal
University of Toronto - Department of Statistics, University of Oxford and University of Toronto - Department of Statistics
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real option, investment under uncertainty, technical uncertainty, irreversibility, Markov chains.

43.

Market Making With Minimum Resting Times

Quantitative Finance, Forthcoming
Number of pages: 35 Posted: 24 Jun 2018 Last Revised: 12 Dec 2018
Álvaro Cartea and Yixuan Wang
University of Oxford and University of Oxford
Downloads 125 (221,010)

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Market making, Minimum resting times, High-frequency trading, Market quality, Regulation

44.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Number of pages: 27 Posted: 27 Apr 2018 Last Revised: 16 Jun 2018
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 84 (289,819)

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algorithmic trading, hedging, price impact

45.

Algorithmic Trading, Stochastic Control, and Mutually-Exciting Processes

SIAM Review, Forthcoming
Number of pages: 36 Posted: 08 Jan 2019
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 67 (329,727)

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Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes processes

46.

Trading Co‐Integrated Assets with Price Impact

Mathematical Finance, Vol. 29, Issue 2, pp. 542-567, 2019
Number of pages: 26 Posted: 13 Mar 2019
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 2 (621,223)
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algorithmic trading, co‐integration, co‐movements, cross‐price impact, optimal execution, price impact