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
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent books
Recent publications
Decentralised finance and automated market making: Execution and speculation
Cartea, Á Drissi, F Monga, M Journal of Economic Dynamics and Control volume 177 105134 (Aug 2025) Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals
Cartea, Á Sánchez-Betancourt, L SIAM Journal on Financial Mathematics volume 16 issue 2 243-270 (30 Jun 2025) A Simple Strategy to Deal with Toxic Flow
Cartea, Á Sánchez-Betancourt, L (23 Mar 2025) Volume Shocks and Overnight Returns
Cartea, Á Cucuringu, M Jin, Q Wilson, M (26 Feb 2025) Adaptive-Robust Portfolio Optimisation
Bhudisaksang, T Cartea, Á Sánchez-Betancourt, L (04 Jan 2025) Anonymity, Signaling, and Collusion in Limit Order Books
Cartea, Á Chang, P Graumans, R (03 Jan 2025) Strategic Bonding Curves in Automated Market Makers
Cartea, Á Drissi, F Sánchez-Betancourt, L Siska, D Szpruch, L (12 Nov 2024) Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Cartea, Á Drissi, F Monga, M SIAM Journal on Financial Mathematics volume 15 issue 3 931-959 (30 Sep 2024) Nash Equilibrium between Brokers and Traders
Cartea, Á Jaimungal, S Sánchez-Betancourt, L (15 Jul 2024) Rough Transformers: Lightweight and Continuous Time Series Modelling through Signature Patching
Moreno-Pino, F Arroyo, Á Waldon, H Dong, X Cartea, Á (31 May 2024) 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