Personal Website:
+44 1865 270430
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent Books:
Algorithmic and High-Frequency Trading
ISBN-13: 9781107091146
(6 August 2015)
Highlighted Publications:
Algorithmic trading, stochastic control, and mutually exciting processes
SIAM Review
issue 3
volume 60
page 673-703
(1 January 2018)
Recent Publications:
Foreign exchange markets with Last Look
Mathematics and Financial Economics
page 1-30
(9 June 2018)
Portfolio liquidation and ambiguity aversion
page 77-114
(1 January 2018)
IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION
International Journal of Theoretical and Applied Finance
(18 September 2017)
Algorithmic Trading with Model Uncertainty
SIAM Journal on Financial Mathematics
issue 1
volume 8
page 635-671
(22 August 2017)
Full text available
Algorithmic trading of co-integrated assets
International Journal of Theoretical and Applied Finance
issue 6
volume 19
(1 September 2016)
Research Interests:
High-Frequency and Algorithmic Trading
Mathematical Finance
Financial Economics
Asset Pricing
Energy Markets
Prizes, Awards, and Scholarships:
"SIGEST" award by SIAM for our paper:
Buy Low, Sell High: A High Frequency Trading Perspective,
Álvaro Cartea, Sebastian Jaimungal, and Jason Ricci,
SIAM J. Finan. Math. 5-1 (2014), pp. 415-444