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
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) 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) 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 (14 Nov 2023) Execution and statistical arbitrage with signals in multiple automated market makers
Cartea, A Drissi, F Monga, M 37-42 (02 Nov 2023) Double-Execution Strategies Using Path Signatures
Cartea, Á Arribas, I Sánchez-Betancourt, L SIAM Journal on Financial Mathematics volume 13 issue 4 1379-1417 (21 Dec 2022) Optimal execution with stochastic delay
Cartea, A Sanchez-Betancourt, L Finance and Stochastics volume 27 1-47 (01 Dec 2022) AI-driven liquidity provision in OTC financial markets
Cartea, Á Chang, P Mroczka, M Oomen, R Quantitative Finance volume 22 issue 12 2171-2204 (21 Oct 2022) Optimal cross-border electricity trading
Cartea, A Flora, M Slavov, G Tiziano, V SIAM Journal on Financial Mathematics volume 13 issue 1 262-294 (14 Mar 2022) 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