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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

Contact form
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 Cartea, Á Jaimungal, S Penalva, J (06 Aug 2015)
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

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Athena SWAN silver award
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