Prof. Alvaro Cartea | Mathematical Institute

Prof. Alvaro Cartea

Status:

Academic Faculty

Professor of Mathematical Finance

Editor-in-Chief: Applied Mathematical Finance

Contact form

Personal website:

https://sites.google.com/site/alvarocartea/home

+44 1865 270430

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

ISBN-13: 9781107091146 (6 August 2015)

Highlighted Publications:

Algorithmic trading, stochastic control, and mutually exciting processes

Algorithmic trading, stochastic control, and mutually exciting processes
Cartea, Á; Jaimungal, S; Ricci, J
SIAM Review issue 3 volume 60 page 673-703 (1 January 2018)

Recent Publications:

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
Cartea, A; Sanchez-Betancourt, L
SIAM JOURNAL ON FINANCIAL MATHEMATICS issue 1 volume 12 page 254-294 (2021) Full text available

Trading foreign exchange triplets

Trading foreign exchange triplets
Cartea, A; Jaimungal, S; Jia, T
SIAM Journal on Financial Mathematics issue 3 volume 11 page 690-719 (13 July 2020)

Hedging nontradable risks with transaction costs and price impact

Hedging nontradable risks with transaction costs and price impact
Cartea, A; Donnelly, R; Jaimungal, S
MATHEMATICAL FINANCE issue 3 volume 30 page 833-868 (July 2020) Full text available

Market making with alpha signals

Market making with alpha signals
Cartea, A; Wang, Y
International Journal of Theoretical and Applied Finance issue 3 volume 23 (16 May 2020)

Spoofing and Price Manipulation in Order-Driven Markets

Spoofing and Price Manipulation in Order-Driven Markets
Cartea, Á; Jaimungal, S; Wang, Y
Applied Mathematical Finance issue 1-2 volume 27 page 67-98 (3 March 2020)

Hedge and speculate: replicating option payoffs with limit and market orders

Hedge and speculate: replicating option payoffs with limit and market orders
Cartea, A; Jaimungal, S; Gan, L
SIAM Journal on Financial Mathematics issue 3 volume 10 page 790-814 (17 September 2019)

Market making with minimum resting times

Market making with minimum resting times
CARTEA, A; Wang, Y
Quantitative Finance issue 6 volume 19 page 903-920 (3 June 2019)

Speculative trading of electricity contracts in interconnected locations

Speculative trading of electricity contracts in interconnected locations
CARTEA, A; Jaimungal, S; Quin, Z
Energy Economics volume 79 page 3-20 (1 March 2019)

Ultra-fast activity and intraday market quality

Ultra-fast activity and intraday market quality
CARTEA, A; Payne, R; Penalva, J; Tapia, M
Journal of Banking & Finance volume 99 page 157-181 (1 February 2019)

Market Making With Minimum Resting Times

Market Making With Minimum Resting Times
Cartea, L; Wang, Y
SSRN Electronic Journal issue 7 volume 20 page 1750044-1750044 (18 January 2019)

Research interests:

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

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

Search form

Text Resize