Alvaro Cartea
Álvaro Cartea is a mathematician and financial economist. He is a Professor of Mathematical Finance at the Mathematical Institute.[1], University of Oxford and Director of the Oxford-Man Institute of Quantitative Finance[2]. He is best known for his work on Algorithmic and High-Frequency Trading and for his work of the modeling of commodities (e.g., electricity[3], gas[4]). Professor Cartea is a founding member and deputy chairman of the Commodities & Energy Markets Association (CEMA)[5].
Life and career[edit]
Cartea studied Economics at Universidad Central de Venezuela[6], Pure Mathematics at the University of Warwick, Economics and Financial Mathematics at the University of Chicago and, obtained a DPhil (PhD) in Mathematics from the University of Oxford. Previously, Cartea held academic faculty positions at Birkbeck University of London, Universidad Carlos III de Madrid, and University College London, where he is an honorary reader in Mathematical Finance[7]
Published essays[edit]
-The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. Cartea, A; Sanchez-Betancourt, L SIAM JOURNAL ON FINANCIAL MATHEMATICS issue 1 volume 12 page 254-294 (2021).
-Trading foreign exchange triplets. Cartea, A; Jaimungal, S; Jia, T. SIAM Journal on Financial Mathematics issue 3 volume 11 page 690-719 (13 July 2020).
-Hedging nontradable risks with transaction costs and price impact. Cartea, A; Donnelly, R; Jaimungal, S. MATHEMATICAL FINANCE issue 3 volume 30 page 833-868 (July 2020).
-Market making with alpha signals. Cartea, A; Wang, Y. International Journal of Theoretical and Applied Finance issue 3 volume 23 (16 May 2020).
-Spoofing and Price Manipulation in Order-Driven Markets. Cartea, Á; Jaimungal, S; Wang, Y. 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. Cartea, A; Jaimungal, S; Gan, L. SIAM Journal on Financial Mathematics issue 3 volume 10 page 790-814 (17 September 2019).
-Market making with minimum resting times. Cartea, A; Wang, Y. Quantitative Finance issue 6 volume 19 page 903-920 (3 June 2019).
-Speculative trading of electricity contracts in interconnected locations. Cartea, A; Jaimungal, S; Quin, Z. Energy Economics volume 79 page 3-20 (1 March 2019).
-Ultra-fast activity and intraday market quality. Cartea, A; Payne, R; Penalva, J; Tapia, M. Journal of Banking & Finance volume 99 page 157-181 (1 February 2019).
-Market Making With Minimum Resting Times. Cartea, L; Wang, Y. SSRN Electronic Journal issue 7 volume 20 page 1750044-1750044 (18 January 2019).
Books[edit]
-Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk). Álvaro Cartea, Sebastian Jaimungal, José Penalva. Cambridge University Press, 2015.
References[edit]
- ↑ "Prof. Alvaro Cartea | Mathematical Institute". www.maths.ox.ac.uk.
- ↑ "Oxford-Man Institute Appoints Professor Álvaro Cartea As New Director | AlphaWeek". www.alpha-week.com.
- ↑ https://www.researchgate.net/publication/46455582_How_much_should_we_pay_for_interconnecting_electricity_markets_A_real_options_approach
- ↑ Cartea, Álvaro; Cheeseman, James; Jaimungal, Sebastian (January 11, 2014). "How to Value a Gas Storage Facility" – via papers.ssrn.com.
- ↑ "Executive Committee – CEMA".
- ↑ "El venezolano Álvaro Cartea es el nuevo director del Instituto Oxford-Man de Finanzas Cuantitativas". September 22, 2021.
- ↑ "Hui GONG's homepage". www.homepages.ucl.ac.uk.
-Oxford-Man Institute Appoints Alvaro Cartea as New Director. Alpha Week, 2021. -Professor Cartea's Google Scholar profile.
-New Director Appointed at Oxford-Man Institute. InstitutionalAssetManager.com, 2021.
-Professor Cartea's SSRN profile.
-Professor's Cartea ORCID's profile.
-Professor Cartea's citation record by Citations in Economics (CITEC).
--Professor Cartea's Semantics Scholars profile.
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