Status:
Personal website:
+44 1865 270430
ORCID iD:
https://orcid.org/0000-0002-7426-4645
Research groups:
Address
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
SIAM Review
issue 3
volume 60
page 673-703
(1 January 2018)
Recent Publications:
Ultra-fast activity and intraday market quality
Journal of Banking and Finance
volume 99
page 157-181
(1 February 2019)
Market Making With Minimum Resting Times
SSRN Electronic Journal
(18 January 2019)
Foreign exchange markets with Last Look
Mathematics and Financial Economics
issue 1
volume 13
page 1-30
(15 January 2019)
Speculative Trading of Electricity Contracts in Interconnected Locations
Energy Economics
(2 December 2018)
Portfolio liquidation and ambiguity aversion
page 77-114
(1 January 2018)
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