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
Research groups
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent books
Recent publications
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 Continuous-Time Sequence Modelling with Path Signatures
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 (04 Jan 2024) Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
Coache, A Jaimungal, S Cartea, Á SIAM Journal on Financial Mathematics volume 14 issue 4 1249-1289 (31 Dec 2023) A Similarity-based Approach to Covariance Forecasting
Cartea, Á Cucuringu, M Jennings, M Zhang, C (01 Dec 2023) Correlation matrix clustering for statistical arbitrage portfolios
Jin, Q Cucuringu, M Cartea, A 557-564 (25 Nov 2023) Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
Cartea, A Drissi, F Monga, M Applied Mathematical Finance volume 30 issue 2 69-93 (22 Nov 2023) Spoofing and Manipulating Order Books with Learning Algorithms
Cartea, Á Chang, P García-Arenas, G (21 Nov 2023) 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