Trading Cointegrated Assets with Price Impact
Cartea, A
Gan, L
Jaimungal, S
(03 Jul 2018)
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Cartea, A
Donnelly, R
Jaimungal, S
(31 Jul 2019)
Latency and Liquidity Risk
Cartea, Á
Jaimungal, S
Sánchez-Betancourt, L
(08 Aug 2019)
Gradient-based estimation of linear Hawkes processes with general kernels
Cartea, Á
Cohen, S
Labyad, S
(20 Nov 2021)
Optimal Execution and Speculation With Trade Signals
Bank, P
Cartea, Á
Körber, L
Brokers and Informed Traders: dealing with toxic flow and extracting trading signals
Cartea, Á
Sánchez-Betancourt, L
(01 Jan 2022)
Algorithmic Collusion in Electronic Markets: The Impact of Tick Size
Cartea, Á
Chang, P
Penalva, J
(01 Jan 2022)
Where is the Value in High Frequency Trading?
Cartea, Á
Penalva, J
Detecting Toxic Flow
Cartea, Á
Duran-Martin, G
Sánchez-Betancourt, L
Coupling Stokes flow with inhomogeneous poroelasticity
Taffetani, M
Ruiz-Baier, R
Waters, S
(02 Mar 2021)