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, for his work of the modeling of commodities (e.g., electricity[3], gas[4]), and his more recent work on algorithm collusion. Professor Cartea is a founding member and deputy chairman of the Commodities & Energy Markets Association (CEMA)[5].
Life and career
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 he 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. [7]
Published essays
-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
-Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk). Álvaro Cartea, Sebastian Jaimungal, José Penalva. Cambridge University Press, 2015.
References
- ↑ "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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