Álvaro Cartea

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 17

Top Topics

Foreign Exchange

Top Venues

SIAM J. Financial Math.

ICDCS Workshops

Publications

Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea
Rough Transformers: Lightweight Continuous-Time Sequence Modelling with Path Signatures. CoRR (2024)
Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea
Rough Transformers for Continuous and Efficient Time-Series Modelling. CoRR (2024)
Qi Jin, Mihai Cucuringu, Álvaro Cartea
Correlation Matrix Clustering for Statistical Arbitrage Portfolios. ICAIF (2023)
Álvaro Cartea, Fayçal Drissi, Marcello Monga
Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers. ICDCS Workshops (2023)
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. SIAM J. Financial Math. 14 (4) (2023)
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
Detecting Toxic Flow. CoRR (2023)
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. CoRR (2022)
Álvaro Cartea, Maria Flora, Tiziano Vargiolu, Georgi Slavov
Optimal Cross-Border Electricity Trading. SIAM J. Financial Math. 13 (1) (2022)
Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt
Double-Execution Strategies Using Path Signatures. SIAM J. Financial Math. 13 (4) (2022)
Theerawat Bhudisaksang, Álvaro Cartea
Adaptive Robust Control in Continuous Time. SIAM J. Control. Optim. 59 (5) (2021)
Álvaro Cartea, Leandro Sánchez-Betancourt
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM J. Financial Math. 12 (1) (2021)
Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia
Trading Foreign Exchange Triplets. SIAM J. Financial Math. 11 (3) (2020)
Álvaro Cartea, Luhui Gan, Sebastian Jaimungal
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SIAM J. Financial Math. 10 (3) (2019)
Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. SIAM Rev. 60 (3) (2018)
Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
Algorithmic Trading with Model Uncertainty. SIAM J. Financial Math. 8 (1) (2017)
Álvaro Cartea, Sebastian Jaimungal, Zhen Qin
Model Uncertainty in Commodity Markets. SIAM J. Financial Math. 7 (1) (2016)
Álvaro Cartea, Sebastian Jaimungal
A Closed-Form Execution Strategy to Target Volume Weighted Average Price. SIAM J. Financial Math. 7 (1) (2016)
Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
Buy Low, Sell High: A High Frequency Trading Perspective. SIAM J. Financial Math. 5 (1) (2014)