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
Recent books
Recent publications
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 (21 Oct 2022) Double-Execution Strategies Using Path Signatures
Cartea, Á Arribas, I Sánchez-Betancourt, L SIAM Journal on Financial Mathematics volume 13 issue 4 1379-1417 (01 Jan 2022) Latency and liquidity risk
Cartea, A Jaimungal, S Sanchez-Betancourt, L International Journal of Theoretical and Applied Finance volume 24 issue 06n07 (11 Nov 2021) Online drift estimation for jump-diffusion processes
Bhudisaksang, T Cartea, A Bernoulli - Journal of the Bernoulli Society volume 27 issue 4 2494-2518 (01 Nov 2021) Adaptive robust control in continuous-time
Bhudisaksang, T Cartea, A SIAM Journal on Control and Optimization volume 59 issue 5 3912-3945 (21 Oct 2021) The shadow price of latency: improving intraday fill ratios in foreign exchange markets
Cartea, A Sanchez-Betancourt, L SIAM Journal on Financial Mathematics volume 12 issue 1 254-294 (01 Mar 2021) Trading foreign exchange triplets
Cartea, A Jaimungal, S Jia, T SIAM Journal on Financial Mathematics volume 11 issue 3 690-719 (13 Jul 2020) Hedging nontradable risks with transaction costs and price impact
Cartea, A Donnelly, R Jaimungal, S MATHEMATICAL FINANCE volume 30 issue 3 833-868 (Jul 2020) http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000540060800004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=4fd6f7d59a501f9b8bac2be37914c43e Market making with alpha signals
Cartea, A Wang, Y International Journal of Theoretical and Applied Finance volume 23 issue 3 (16 May 2020) 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