Álvaro Cartea

Available identifiers

zbMath Open cartea.alvaroMaRDI QIDQ300844

List of research outcomes

Publication	Date of Publication	Type
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	2024-04-12	Paper
Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets	2024-01-11	Paper
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning	2024-01-05	Paper
AI-driven liquidity provision in OTC financial markets	2023-06-20	Paper
Double-Execution Strategies Using Path Signatures	2023-01-04	Paper
Optimal execution with stochastic delay	2022-12-28	Paper
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets	2022-06-03	Paper
Optimal Cross-Border Electricity Trading	2022-03-18	Paper
LATENCY AND LIQUIDITY RISK	2022-03-11	Paper
Adaptive Robust Control in Continuous Time	2021-10-22	Paper
Online drift estimation for jump-diffusion processes	2021-09-10	Paper
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets	2021-05-04	Paper
Hedging nontradable risks with transaction costs and price impact	2021-03-23	Paper
Spoofing and Price Manipulation in Order-Driven Markets	2020-10-20	Paper
Trading Foreign Exchange Triplets	2020-09-28	Paper
MARKET MAKING WITH ALPHA SIGNALS	2020-08-05	Paper
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders	2019-11-22	Paper
Market making with minimum resting times	2019-09-26	Paper
Trading co‐integrated assets with price impact	2019-05-23	Paper
Foreign exchange markets with last look	2019-05-08	Paper
Optimal execution with limit and market orders	2019-02-06	Paper
Enhancing trading strategies with order book signals	2018-12-03	Paper
Modelling Asset Prices for Algorithmic and High-Frequency Trading	2018-09-05	Paper
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes	2018-08-14	Paper
TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE	2018-06-07	Paper
Algorithmic Trading with Model Uncertainty	2018-03-12	Paper
IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION	2017-11-29	Paper
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis	2017-10-05	Paper
A Closed-Form Execution Strategy to Target Volume Weighted Average Price	2016-11-11	Paper
ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS	2016-10-24	Paper
Incorporating order-flow into optimal execution	2016-06-29	Paper
ALGORITHMIC TRADING WITH LEARNING	2016-06-22	Paper
Model Uncertainty in Commodity Markets	2016-01-21	Paper
https://portal.mardi4nfdi.de/entity/Q5263525	2015-07-17	Paper
RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES	2015-07-15	Paper
Buy Low, Sell High: A High Frequency Trading Perspective	2015-01-20	Paper
Derivatives pricing with marked point processes using tick-by-tick data	2014-02-08	Paper
How Duration Between Trades of Underlying Securities Affects Option Prices*	2010-12-17	Paper
Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance	2010-02-05	Paper
Modelling Electricity Prices with Forward Looking Capacity Constraints	2009-09-13	Paper
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality	2006-03-08	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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