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Prof. Alvaro Cartea

Status
Academic Faculty

Professor of Mathematical Finance

Director of the Oxford-Man Institute of Quantitative Finance

Editor-in-Chief: Applied Mathematical Finance

+44 1865 273582
Contact form
https://sites.google.com/site/alvarocartea/home
ORCID iD
https://orcid.org/0000-0002-7426-4645
Research groups
  • Mathematical and Computational Finance
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent books
Algorithmic and high-frequency trading Cartea, Á Jaimungal, S Penalva, J (06 Aug 2015)
Recent publications
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals
Cartea, Á Sánchez-Betancourt, L SIAM Journal on Financial Mathematics volume 16 issue 2 243-270 (30 Jun 2025)
A Simple Strategy to Deal with Toxic Flow
Cartea, Á Sánchez-Betancourt, L (23 Mar 2025)
Volume Shocks and Overnight Returns
Cartea, Á Cucuringu, M Jin, Q Wilson, M (26 Feb 2025)
Adaptive-Robust Portfolio Optimisation
Bhudisaksang, T Cartea, Á Sánchez-Betancourt, L (04 Jan 2025)
Anonymity, Signaling, and Collusion in Limit Order Books
Cartea, Á Chang, P Graumans, R (03 Jan 2025)
Strategic Bonding Curves in Automated Market Makers
Cartea, Á Drissi, F Sánchez-Betancourt, L Siska, D Szpruch, L (12 Nov 2024)
Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Cartea, Á Drissi, F Monga, M SIAM Journal on Financial Mathematics volume 15 issue 3 931-959 (30 Sep 2024)
Nash Equilibrium between Brokers and Traders
Cartea, Á Jaimungal, S Sánchez-Betancourt, L (15 Jul 2024)
Rough Transformers: Lightweight and Continuous Time Series Modelling through Signature Patching
Moreno-Pino, F Arroyo, Á Waldon, H Dong, X Cartea, Á (31 May 2024)
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
Arroyo, A Cartea, A Moreno-Pino, F Zohren, S Quantitative Finance volume 24 issue 1 35-57 (04 Jan 2024)
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

Highlighted publications
Algorithmic trading, stochastic control, and mutually exciting processes
Cartea, Á Jaimungal, S Ricci, J SIAM Review volume 60 issue 3 673-703 (01 Jan 2018)
Research interests

High-Frequency and Algorithmic Trading
Mathematical Finance
Financial Economics
Asset Pricing
Energy Markets

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London Mathematical Society Good Practice Scheme Athena SWAN Silver Award (ECU Gender Charter) Stonewall Silver Employer 2022

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