Álvaro Cartea

According to our database, Álvaro Cartea authored at least 18 papers between 2014 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision.

Álvaro Cartea, Fayçal Drissi, Marcello Monga

SIAM J. Financial Math., 2024

Rough Transformers: Lightweight Continuous-Time Sequence Modelling with Path Signatures.

Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea

CoRR, 2024

Rough Transformers for Continuous and Efficient Time-Series Modelling.

Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea

CoRR, 2024

2023

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning.

Anthony Coache, Sebastian Jaimungal, Álvaro Cartea

SIAM J. Financial Math., December, 2023

Detecting Toxic Flow.

Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt

CoRR, 2023

Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers.

Álvaro Cartea, Fayçal Drissi, Marcello Monga

Proceedings of the 43rd IEEE International Conference on Distributed Computing Systems, 2023

Correlation Matrix Clustering for Statistical Arbitrage Portfolios.

Qi Jin, Mihai Cucuringu, Álvaro Cartea

Proceedings of the 4th ACM International Conference on AI in Finance, 2023

2022

Double-Execution Strategies Using Path Signatures.

Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt

SIAM J. Financial Math., December, 2022

Optimal Cross-Border Electricity Trading.

Álvaro Cartea, Maria Flora, Tiziano Vargiolu, Georgi Slavov

SIAM J. Financial Math., 2022

2021

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets.

Álvaro Cartea, Leandro Sánchez-Betancourt

SIAM J. Financial Math., 2021

Adaptive Robust Control in Continuous Time.

Theerawat Bhudisaksang, Álvaro Cartea

SIAM J. Control. Optim., 2021

2020

Trading Foreign Exchange Triplets.

Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia

SIAM J. Financial Math., 2020

2019

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders.

Álvaro Cartea, Luhui Gan, Sebastian Jaimungal

SIAM J. Financial Math., 2019

2018

Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes.

Álvaro Cartea, Sebastian Jaimungal, Jason Ricci

SIAM Rev., 2018

2017

Algorithmic Trading with Model Uncertainty.

Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal

SIAM J. Financial Math., 2017

2016

Model Uncertainty in Commodity Markets.

Álvaro Cartea, Sebastian Jaimungal, Zhen Qin

SIAM J. Financial Math., 2016

A Closed-Form Execution Strategy to Target Volume Weighted Average Price.

Álvaro Cartea, Sebastian Jaimungal

SIAM J. Financial Math., 2016

2014

Buy Low, Sell High: A High Frequency Trading Perspective.

Álvaro Cartea, Sebastian Jaimungal, Jason Ricci

SIAM J. Financial Math., 2014