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

84

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Rank 132

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Top 132

in Total Papers Downloads

132,485

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Rank 2,872

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Top 2,872

in Total Papers Citations

474

Scholarly Papers (84)

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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 9,844 (1,237)
Citation 37

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

2.

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, King's College London and University of Toronto - Department of Statistics
Downloads 7,528 (1,944)
Citation 22

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

3.

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 6,260 (2,684)
Citation 29

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

4.

Decentralised Finance and Automated Market Making: Execution and Speculation

Number of pages: 41 Posted: 30 Jun 2022 Last Revised: 05 Jul 2024
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 5,229 (3,678)
Citation 11

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Decentralised finance, blockchains, automated market making, smart contracts, algorithmic trading, statistical arbitrage, predictive signals

5.

Statistical Predictions of Trading Strategies in Electronic Markets

Forthcoming in Journal of Financial Econometrics
Number of pages: 60 Posted: 12 May 2023 Last Revised: 21 Sep 2024
Álvaro Cartea, Samuel N. Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt and Leon van Veldhuijzen
University of Oxford, University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative Finance, affiliation not provided to SSRN, Mathematical Institute, University of Oxford and Autoriteit Financiële Markten (AFM)
Downloads 4,320 (5,098)
Citation 1

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agent-based models, algorithmic trading, limit order book, supervision, statistical prediction

6.

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 4,136 (5,464)
Citation 9

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

7.

Deep Reinforcement Learning for Algorithmic Trading

Number of pages: 24 Posted: 10 Apr 2021
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 4,017 (5,728)
Citation 5

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

8.

Where is the Value in High Frequency Trading?

Downloads 4,002 ( 5,758)
Citation 38

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 3,059 (8,743)
Citation 16

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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 768 (69,512)
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

Where is the Value in High Frequency Trading?

Banco de Espana Working Paper No. 1111
Number of pages: 52 Posted: 31 Aug 2023
Álvaro Cartea and José Penalva
University of Oxford and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 175 (367,168)
Citation 2

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High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure

9.

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 3,684 (6,625)
Citation 9

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Energy derivatives, electricity, forward curve

10.

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 3,594 (6,872)
Citation 8

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

11.

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 3,572 (6,969)
Citation 5

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

12.

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 3,311 (7,864)
Citation 9

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

13.

Algorithmic Trading with Model Uncertainty

SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 15 Apr 2025
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 3,001 (9,191)
Citation 20

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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

14.

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 2,958 (9,371)
Citation 10

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

15.

Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies

Number of pages: 63 Posted: 08 Nov 2023 Last Revised: 28 Nov 2024
Álvaro Cartea, Mihai Cucuringu and Qi Jin
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 2,777 (10,343)

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Return prediction, Lead-lag relationships, Lévy-area, G12, G14, G17

16.

Correlation Matrix Clustering for Statistical Arbitrage Portfolios

4th ACM International Conference on AI in Finance
Number of pages: 21 Posted: 25 Sep 2023 Last Revised: 10 Nov 2023
Álvaro Cartea, Mihai Cucuringu and Qi Jin
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 2,708 (10,811)

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Correlation matrix, Clustering, Portfolio management, Random matrix theory, Statistical arbitrage

17.

Brokers and Informed Traders: Dealing With Toxic Flow and Extracting Trading Signals

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 22 Posted: 15 Nov 2022 Last Revised: 19 Dec 2024
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 2,505 (12,214)
Citation 3

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Informed trading, toxic flow, noise trading, intermediaries, hedging, brokers, trading signal

18.

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 2,150 (15,638)
Citation 42

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

19.

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 2,094 (16,311)

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Commodity, Hedging, Risk Management, Power Plant

20.

Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 37 Posted: 22 Nov 2022 Last Revised: 29 Jun 2024
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 1,973 (17,930)
Citation 18

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Decentralised finance, automated market making, concentrated liquidity, algorithmic trading, market making, stochastic control, predictable loss, impermanent loss, signals

21.

Spoofing and Manipulating Order Books with Learning Algorithms

Number of pages: 68 Posted: 01 Dec 2023 Last Revised: 17 Feb 2025
Álvaro Cartea, Patrick Chang and Gabriel García-Arenas
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,925 (18,730)
Citation 1

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Market Microstructure, Market Making, Spoofing, Market Manipulation, Learning Algorithms, Inventory Model

22.

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 1,883 (19,310)
Citation 18

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

23.

Anonymity, Signaling, and Collusion in Limit Order Books

Number of pages: 44 Posted: 23 Jan 2025 Last Revised: 17 Feb 2025
Álvaro Cartea, Patrick Chang and Rob Graumans
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,775 (21,254)

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High-frequency trading, Collusion, Signaling

24.

AI Driven Liquidity Provision in OTC Financial Markets

Number of pages: 60 Posted: 26 May 2022 Last Revised: 08 Jun 2022
Álvaro Cartea, Patrick Chang, Mateusz Mroczka and Roel C. A. Oomen
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford and Deutsche Bank AG (London)
Downloads 1,768 (21,313)
Citation 3

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25.

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 1,762 (21,397)
Citation 4

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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

26.

Bandits for Algorithmic Trading with Signals

Number of pages: 41 Posted: 28 Jun 2023
Álvaro Cartea, Fayçal Drissi and Pierre Osselin
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Machine Learning Research Group
Downloads 1,699 (22,604)
Citation 1

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Multi-task Gaussian processes, contextual bandits, nonstationary bandits, algorithmic trading, optimal execution, signals

27.

Algorithmic Collusion in Electronic Markets: The Impact of Tick Size

Number of pages: 66 Posted: 11 May 2022 Last Revised: 03 Oct 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 1,689 (22,874)
Citation 6

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

28.

Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers

Number of pages: 15 Posted: 21 Mar 2023
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 1,594 (24,944)

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Decentralised finance, automated market making, algorithmic trading, statistical arbitrage, predictive signals, market impact, adaptive strategies, smart contracts

29.

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 1,519 (26,809)
Citation 12

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

30.

Detecting Toxic Flow

Number of pages: 27 Posted: 07 Nov 2023 Last Revised: 07 Dec 2023
Álvaro Cartea, Gerardo Duran-Martin and Leandro Sánchez-Betancourt
University of Oxford, Queen Mary University of London and Mathematical Institute, University of Oxford
Downloads 1,349 (31,992)

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online learning, Bayesian neural networks, Kalman filtering, toxic flow, algorithmic trading

31.

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 1,313 (33,283)
Citation 2

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

32.

Optimal Execution of Foreign Securities: A Double-Execution Problem

Number of pages: 38 Posted: 20 Apr 2020 Last Revised: 13 Dec 2021
Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
University of Oxford, University of Oxford - Mathematical Institute and Mathematical Institute, University of Oxford
Downloads 1,220 (37,000)
Citation 2

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

33.

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 1,182 (38,788)
Citation 5

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

34.

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 Mathematical Institute, University of Oxford
Downloads 1,151 (40,328)
Citation 5

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

35.

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 1,140 (40,950)
Citation 14

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

36.

Nash Equilibrium between Brokers and Traders

Number of pages: 24 Posted: 18 Jul 2024
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 1,120 (42,157)

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Informed traders, Noise traders, Brokers, internalisation, externalisation, Nash equilibrium, FBSDEs

37.

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 1,003 (49,056)
Citation 9

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

38.

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 980 (50,694)
Citation 4

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

39.

A Similarity-based Approach to Covariance Forecasting

Number of pages: 36 Posted: 18 Dec 2023 Last Revised: 22 Dec 2023
Álvaro Cartea, Mihai Cucuringu, Mark Jennings and Chao Zhang
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and Hong Kong University of Science and Technology (Guangzhou)
Downloads 970 (51,513)

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covariance forecasting, time series forecasting, similarity, k-nearest neighbors

40.

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 944 (53,391)
Citation 3

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

41.

The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games

Number of pages: 48 Posted: 04 Aug 2022 Last Revised: 24 Oct 2022
Álvaro Cartea, Patrick Chang, José Penalva and Harrison Waldon
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Universidad Carlos III, Madrid - Department of Business Administration and University of Texas at Austin
Downloads 932 (54,358)
Citation 6

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Stochastic Approximation, Learning in Games, Reinforcement Learning, Dynamic Games, Tacit Collusion, Artificial Intelligence

42.

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 931 (54,446)
Citation 7

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Delta hedging, Gamma Hedging, Jump Processes, Portfolio Hedging

43.

Alpha in Analysts

Number of pages: 26 Last Revised: 10 Mar 2025
Álvaro Cartea and Qi Jin
University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 924

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Analysts, Price targets, Trading strategy

44.

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 836 (63,130)
Citation 2

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

45.

Algorithmic Collusion and a Folk Theorem from Learning with Bounded Rationality

Downloads 832 (63,515)
Citation 3

Algorithmic Collusion and a Folk Theorem from Learning with Bounded Rationality

Number of pages: 40 Posted: 13 Dec 2022 Last Revised: 17 Apr 2024
Álvaro Cartea, Patrick Chang, José Penalva and Harrison Waldon
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Universidad Carlos III, Madrid - Department of Business Administration and University of Texas at Austin
Downloads 792 (66,765)
Citation 2

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Folk Theorem, Tacit Collusion, Stochastic Approximation, Smooth Fictitious Play

Algorithmic Collusion and a Folk Theorem from Learning with Bounded Rationality

Number of pages: 40 Posted: 19 Nov 2024
Álvaro Cartea, Patrick Chang, José Penalva and Harrison Waldon
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Universidad Carlos III, Madrid - Department of Business Administration and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 40 (944,712)
Citation 1

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Folk Theorem, Smooth Fictitious Play, Tacit Collusion, Stochastic Approximation

46.

Optimal Cross-Border Electricity Trading

SIAM Journal on Financial Mathematics
Number of pages: 40 Posted: 23 Dec 2019 Last Revised: 15 Dec 2021
Álvaro Cartea, Maria Flora, Tiziano Vargiolu and Georgi Slavov
University of Oxford, CREST, CNRS, Institut Polytechnique de Paris, Department of Mathematics and ICMA Center | Henley Business School | University of Reading
Downloads 770 (70,397)
Citation 3

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

47.

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 751 (72,789)
Citation 10

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

48.

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 739 (74,356)
Citation 3

Abstract:

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

49.

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 - The Business School, Universidad Carlos III, Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 731 (75,405)
Citation 9

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

50.

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 721 (76,746)

Abstract:

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stable processes, Lévy, jumps, implied volatility, jumps

51.

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 693 (80,693)
Citation 1

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

52.

Automated Market Makers Designs Beyond Constant Functions

Number of pages: 34 Posted: 25 May 2023 Last Revised: 17 Apr 2024
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 688 (81,451)
Citation 4

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs

53.

Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers

Number of pages: 45 Posted: 16 May 2023 Last Revised: 19 Jun 2023
Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino and Stefan Zohren
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 682 (82,374)
Citation 2

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Fill Probabilities, Limit Order Book, Optimal Execution, Market Making, Order Placement, Survival Analysis

54.

Volume Shocks and Overnight Returns

Number of pages: 40 Posted: 28 Apr 2025
Álvaro Cartea, Mihai Cucuringu, Qi Jin and Mungo Ivor Wilson
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Said Business School
Downloads 654

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Trading volume, overnight returns, machine learning

55.

Latency and Liquidity Risk

Number of pages: 33 Posted: 10 Aug 2019 Last Revised: 13 Oct 2021
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 641 (89,181)
Citation 7

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

56.

The Limited Virtue of Complexity in a Noisy World

Number of pages: 109 Last Revised: 29 Apr 2025
Álvaro Cartea, Qi Jin and Yuantao Shi
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 631

Abstract:

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Portfolio choice, machine learning, random matrix theory

57.

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 630 (91,181)

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Gas storage, Swing Options, LSMC

58.

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 603 (96,393)
Citation 7

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

59.

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 595 (98,034)
Citation 3

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

60.

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 594 (98,239)
Citation 1

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

61.

Optimal Execution with Stochastic Delay

Finance and Stochastics, Forthcoming
Number of pages: 36 Posted: 26 Mar 2021 Last Revised: 08 Jul 2022
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 577 (101,965)

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

62.

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 577 (101,965)
Citation 7

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

63.

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning

Number of pages: 41 Posted: 13 Jul 2022 Last Revised: 01 May 2023
Anthony Coache, Sebastian Jaimungal and Álvaro Cartea
Imperial College London - Department of Mathematics, University of Toronto - Department of Statistics and University of Oxford
Downloads 571 (103,569)
Citation 7

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

64.

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 571 (103,363)
Citation 1

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65.

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 522 (115,546)
Citation 1

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

66.

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 514 (117,785)
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adaptive robust control, model uncertainty, stochastic control, time-consistency, dynamic programming, optimal acquisition, online learning, algorithmic trading

67.

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 498 (122,323)
Citation 1

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

68.

Optimal Execution and Speculation With Trade Signals

Number of pages: 42 Posted: 05 Jun 2023 Last Revised: 12 Jan 2024
Peter Bank, Álvaro Cartea and Laura Körber
Humboldt University of Berlin - Department of Mathematics, University of Oxford and Technische Universität Berlin (TU Berlin)
Downloads 497 (122,598)

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Optimal execution, speculation, trade signal, Meyer sigma-field, stochastic optimal control

69.

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 479 (128,182)
Citation 2

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

70.

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 affiliation not provided to SSRN
Downloads 467 (132,142)

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

71.

Strategic Bonding Curves in Automated Market Makers

Number of pages: 40 Posted: 26 Nov 2024
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 460 (138,286)

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs, Uniswap v4, hooks

72.

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 447 (139,396)

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

73.

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 446 (139,769)
Citation 1

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volatility, high-frequency data, jumps, microstructure noise

74.

Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets

Applied Mathematical Finance
Number of pages: 27 Posted: 15 Aug 2023 Last Revised: 28 Oct 2023
Álvaro Cartea, Fayçal Drissi and Marcello Monga
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 415 (151,875)
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Decentralised Finance, Automated Market Making, Smart Contracts, Concentrated Liquidity, Algorithmic Trading, Market Making, Predictable Loss, Impermanent Loss

75.

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 414 (152,322)
Citation 1

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

76.

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 411 (153,605)
Citation 1

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Electricity forward premia, forward risk premium, electricity prices

77.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 394 (161,087)
Citation 2

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

78.

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 348 (184,834)
Citation 3

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Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage

79.

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, Charles III University of Madrid and Fundación Instituto de Empresa, S.L. - IE Business School
Downloads 347 (185,413)
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Portfolio Choice in Real Terms, Treasury Inflation Indexed Securities (TIPS), Buy-and-hold Long-term Investors, Money Illusion

80.

Rough Transformers: Lightweight and Continuous Time Series Modelling through Signature Patching

Number of pages: 31 Posted: 31 May 2024 Last Revised: 11 Jan 2025
Fernando Moreno-Pino, Álvaro Arroyo, Harrison Waldon, Xiaowen Dong and Álvaro Cartea
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Texas at Austin, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford
Downloads 320 (202,954)
Citation 1

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81.

A Simple Strategy to Deal with Toxic Flow

Number of pages: 13 Posted: 22 Apr 2025
Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford and Mathematical Institute, University of Oxford
Downloads 315 (210,827)

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toxic flow, informed trading, noise trading, intermediaries, hedging, brokers, trading signal

82.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Mathematical Finance (2020)
Number of pages: 42 Posted: 27 Apr 2018 Last Revised: 15 Apr 2025
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 255 (256,424)
Citation 2

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algorithmic trading, hedging, price impact

83.

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 228 (286,199)

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Real Options, Irreversible Investment, Technical Uncertainty, Learning

84.

Adaptive-Robust Portfolio Optimisation

Number of pages: 30 Posted: 13 Feb 2025
Theerawat Bhudisaksang, Álvaro Cartea and Leandro Sánchez-Betancourt
University of Oxford - Mathematical Institute, University of Oxford and Mathematical Institute, University of Oxford
Downloads 185 (348,298)

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