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

SCHOLARLY PAPERS

60

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69,803

SSRN CITATIONS
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Top 3,431

in Total Papers Citations

175

CROSSREF CITATIONS

216

Scholarly Papers (60)

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 7,014 (1,354)
Citation 23

Abstract:

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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 5,589 (1,978)
Citation 29

Abstract:

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

3.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 4,692 (2,718)
Citation 22

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

4.
Downloads 3,494 ( 4,460)
Citation 26

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 - Department of Business Administration
Downloads 2,902 (6,029)
Citation 11

Abstract:

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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 - Department of Business Administration
Downloads 592 (63,506)
Citation 20

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

5.

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 3,261 (5,056)
Citation 9

Abstract:

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Energy derivatives, electricity, forward curve

6.

Algorithmic Trading with Learning

Number of pages: 28 Posted: 01 Jan 2014 Last Revised: 13 Oct 2015
University of Oxford, University of Toronto - Department of Statistics and The Fields Institute for Mathematical Sciences
Downloads 3,113 (5,472)
Citation 8

Abstract:

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

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 2,808 (6,381)
Citation 5

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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
Downloads 7 (840,485)
Citation 5

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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 2,730 (6,762)
Citation 5

Abstract:

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

9.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 2,245 (9,185)
Citation 16

Abstract:

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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

10.

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 2,051 (10,730)
Citation 10

Abstract:

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

11.

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
RWE AG, University of Oxford, University of Duisburg-Essen - Faculty of Economic Science and affiliation not provided to SSRN
Downloads 2,003 (11,183)

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Commodity, Hedging, Risk Management, Power Plant

12.

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 1,718 (14,239)
Citation 18

Abstract:

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

13.

Market Making with Alpha Signals

Number of pages: 25 Posted: 22 Aug 2019 Last Revised: 29 Aug 2019
Álvaro Cartea and Yixuan Wang
University of Oxford and University of Oxford
Downloads 1,707 (14,463)
Citation 1

Abstract:

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market making, alpha signal, high-frequency trading, momentum trading, order flow, adverse selection, latent alpha

14.

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 1,605 (15,817)
Citation 4

Abstract:

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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

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 1,416 (19,107)
Citation 14

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

16.

Deep Reinforcement Learning for Algorithmic Trading

Number of pages: 24 Posted: 10 Apr 2021
University of Oxford, University of Toronto - Department of Statistics and King's College London
Downloads 1,413 (19,423)

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reinforcement learning, machine learning, algorithmic trading, foreign exchange, triplets

17.

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 1,276 (22,322)
Citation 2

Abstract:

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

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 1,075 (28,681)
Citation 12

Abstract:

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

19.

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 1,058 (29,331)
Citation 5

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

20.

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

SIAM Journal on Financial Mathematics
Number of pages: 39 Posted: 18 Jun 2018 Last Revised: 26 Oct 2020
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and King's College London
Downloads 929 (35,722)
Citation 5

Abstract:

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

21.

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 912 (36,229)
Citation 9

Abstract:

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

22.

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 838 (40,766)
Citation 7

Abstract:

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Delta hedging, Gamma Hedging, Jump Processes, Portfolio Hedging

23.

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 797 (43,666)
Citation 4

Abstract:

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

24.

Optimal Execution of Foreign Securities: A Double-Execution Problem

Number of pages: 38 Posted: 20 Apr 2020 Last Revised: 13 Dec 2021
University of Oxford, University of Oxford - Mathematical Institute and King's College London
Downloads 785 (45,308)
Citation 2

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Optimal execution, price impact, machine learning, high-frequency trading, signatures, cryptocurrency, illiquidity

25.

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 783 (44,622)
Citation 3

Abstract:

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

26.

Decentralised Finance and Automated Market Making: Execution and Speculation

Number of pages: 32 Posted: 30 Jun 2022
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Oxford
Downloads 741 (48,754)

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Decentralised Finance, Automated Market Making, Algorithmic Trading, Statistical Arbitrage, Predictive Signals, Market Impact, Adaptive Strategies, Smart Contracts

27.

Spoofing and Price Manipulation in Order Driven Markets

Number of pages: 38 Posted: 02 Aug 2019 Last Revised: 30 Jan 2020
Álvaro Cartea, Sebastian Jaimungal and Yixuan Wang
University of Oxford, University of Toronto - Department of Statistics and University of Oxford
Downloads 689 (52,906)
Citation 3

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Market making, Spoofing, Layering, High-frequency trading, Market quality

28.

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 684 (53,427)
Citation 8

Abstract:

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

29.

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
Downloads 679 (53,959)

Abstract:

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stable processes, Lévy, jumps, implied volatility, jumps

30.

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 672 (54,673)
Citation 3

Abstract:

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

31.

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 654 (56,729)
Citation 2

Abstract:

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

32.

Ultra-Fast Activity and Intraday Market Quality

Journal of Banking & Finance 99 (2019): 157-181.
Number of pages: 61 Posted: 11 Jun 2015 Last Revised: 21 Jul 2021
Álvaro Cartea, Richard Payne, José Penalva and Mikel Tapia
University of Oxford, City University London - Sir John Cass Business School, Universidad Carlos III, Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 652 (56,817)
Citation 4

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

33.

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 624 (60,120)
Citation 1

Abstract:

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

34.

AI Driven Liquidity Provision in OTC Financial Markets

Number of pages: 60 Posted: 26 May 2022 Last Revised: 08 Jun 2022
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford and Deutsche Bank AG (London)
Downloads 536 (72,850)

Abstract:

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35.

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 530 (73,877)
Citation 1

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

36.

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 511 (77,237)

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37.

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 479 (83,754)

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Gas storage, Swing Options, LSMC

38.

Optimal Cross-Border Electricity Trading

SIAM Journal on Financial Mathematics
Number of pages: 40 Posted: 23 Dec 2019 Last Revised: 15 Dec 2021
University of Oxford, CREST, CNRS, Institut Polytechnique de Paris, Department of Mathematics and ICMA Center | Henley Business School | University of Reading
Downloads 471 (85,273)
Citation 2

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stochastic optimal control, electricity interconnector, co-integration, cross-border price impact, electricity network

39.

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 441 (92,074)
Citation 1

Abstract:

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

40.

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 Banco de España
Downloads 441 (92,074)
Citation 7

Abstract:

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

41.

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 430 (94,802)
Citation 1

Abstract:

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

42.

Latency and Liquidity Risk

Number of pages: 33 Posted: 10 Aug 2019 Last Revised: 13 Oct 2021
University of Oxford, University of Toronto - Department of Statistics and King's College London
Downloads 424 (97,179)
Citation 1

Abstract:

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Marked point processes, high-frequency trading, algorithmic trading, latency, forward-backward stochastic differential equations

43.

Trading Foreign Exchange Triplets

SIAM Journal on Financial Mathematics
Number of pages: 35 Posted: 18 Oct 2017 Last Revised: 27 Apr 2020
Álvaro Cartea, Sebastian Jaimungal and Tianyi Jia
University of Oxford, University of Toronto - Department of Statistics and University of Toronto
Downloads 415 (99,112)
Citation 1

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

44.

Algorithmic Collusion in Electronic Markets: The Impact of Tick Size

Number of pages: 67 Posted: 11 May 2022
Álvaro Cartea, Patrick Chang and José Penalva
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 385 (108,091)

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Artificial Intelligence, Tacit Collusion, Evolutionary Game Theory, Market Making, Limit Order Books, Tick Size

45.

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 384 (108,091)
Citation 1

Abstract:

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volatility, high-frequency data, jumps, microstructure noise

46.

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 362 (115,454)
Citation 1

Abstract:

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

47.

Optimal Execution with Stochastic Delay

Number of pages: 47 Posted: 26 Mar 2021
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and King's College London
Downloads 342 (125,349)

Abstract:

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algorithmic trading, high-frequency trading, impulse control, stochastic delay, deterministic delay, latency, fill ratio.

48.

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 339 (124,212)

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Electricity forward premia, forward risk premium, electricity prices

49.

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 307 (137,862)
Citation 2

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

50.

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 305 (139,316)
Citation 5

Abstract:

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

51.

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 297 (142,663)

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

52.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 297 (142,663)
Citation 2

Abstract:

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

53.

Adaptive Robust Control in Continuous-Time

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 30 Posted: 05 May 2020 Last Revised: 22 Jul 2021
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 271 (156,664)

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adaptive robust control, model uncertainty, stochastic control, time-consistency, dynamic programming, optimal acquisition, online learning, algorithmic trading

54.

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 255 (166,570)
Citation 3

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Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage

55.

Online Drift Estimation for Jump-Diffusion Processes

Number of pages: 46 Posted: 10 Mar 2020 Last Revised: 05 Feb 2021
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 237 (180,197)
Citation 1

Abstract:

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SGDCT, online estimation, jump-diffusion, extended Ito lemma, non-local Poisson equation, Levy process

56.

Gradient-based estimation of linear Hawkes processes with general kernels

Number of pages: 51 Posted: 23 Nov 2021
Álvaro Cartea, Samuel N. Cohen and Saad Labyad
University of Oxford, University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 232 (182,345)

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Hawkes processes, stochastic gradient descent, point processes, Monte Carlo methods, adaptive stratified sampling.

57.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Forthcoming in Mathematical Finance
Number of pages: 42 Posted: 27 Apr 2018 Last Revised: 15 Feb 2020
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 187 (222,298)
Citation 1

Abstract:

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algorithmic trading, hedging, price impact

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 185 (224,428)

Abstract:

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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.

59.

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning

Number of pages: 35
Anthony Coache, Sebastian Jaimungal and Álvaro Cartea
University of Toronto - Department of Statistics, University of Toronto - Department of Statistics and University of Oxford
Downloads 19

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Dynamic Risk Measures, Reinforcement Learning, Risk-Awareness, Elicitability, Consistent Scoring Functions,Time-Consistency, Actor-Critic Algorithm, Portfolio Allocation, Statistical Arbitrage

60.

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 7 (808,729)

Abstract:

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algorithmic trading, co‐integration, co‐movements, cross‐price impact, optimal execution, price impact