Status:
Personal website:
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:
Hedging nontradable risks with transaction costs and price impact
MATHEMATICAL FINANCE
issue 3
volume 30
page 833-868
(July 2020)
Full text available
Market making with alpha signals
International Journal of Theoretical and Applied Finance
(16 May 2020)
Spoofing and Price Manipulation in Order-Driven Markets
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
SIAM Journal on Financial Mathematics
issue 3
volume 10
page 790–814-
(17 September 2019)
Market making with minimum resting times
Quantitative Finance
issue 6
volume 19
page 903-920
(3 June 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