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Álvaro Cartea
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2020 – today
- 2024
- [i4]Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea:
Rough Transformers for Continuous and Efficient Time-Series Modelling. CoRR abs/2403.10288 (2024) - [i3]Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea:
Rough Transformers: Lightweight Continuous-Time Sequence Modelling with Path Signatures. CoRR abs/2405.20799 (2024) - 2023
- [j12]Anthony Coache, Sebastian Jaimungal
, Álvaro Cartea
:
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. SIAM J. Financial Math. 14(4): 1249-1289 (2023) - [c2]Qi Jin
, Mihai Cucuringu
, Álvaro Cartea
:
Correlation Matrix Clustering for Statistical Arbitrage Portfolios. ICAIF 2023: 557-564 - [c1]Álvaro Cartea
, Fayçal Drissi, Marcello Monga:
Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers. ICDCS Workshops 2023: 37-42 - [i2]Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt:
Detecting Toxic Flow. CoRR abs/2312.05827 (2023) - 2022
- [j11]Álvaro Cartea
, Maria Flora
, Tiziano Vargiolu, Georgi Slavov:
Optimal Cross-Border Electricity Trading. SIAM J. Financial Math. 13(1): 262-294 (2022) - [j10]Álvaro Cartea
, Imanol Pérez Arribas, Leandro Sánchez-Betancourt
:
Double-Execution Strategies Using Path Signatures. SIAM J. Financial Math. 13(4): 1379-1417 (2022) - [i1]Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
:
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. CoRR abs/2206.14666 (2022) - 2021
- [j9]Theerawat Bhudisaksang, Álvaro Cartea
:
Adaptive Robust Control in Continuous Time. SIAM J. Control. Optim. 59(5): 3912-3945 (2021) - [j8]Álvaro Cartea
, Leandro Sánchez-Betancourt
:
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM J. Financial Math. 12(1): 254-294 (2021) - 2020
- [j7]Álvaro Cartea
, Sebastian Jaimungal
, Tianyi Jia:
Trading Foreign Exchange Triplets. SIAM J. Financial Math. 11(3): 690-719 (2020)
2010 – 2019
- 2019
- [j6]Álvaro Cartea
, Luhui Gan, Sebastian Jaimungal
:
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SIAM J. Financial Math. 10(3): 790-814 (2019) - 2018
- [j5]Álvaro Cartea
, Sebastian Jaimungal
, Jason Ricci:
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. SIAM Rev. 60(3): 673-703 (2018) - 2017
- [j4]Álvaro Cartea
, Ryan Donnelly
, Sebastian Jaimungal
:
Algorithmic Trading with Model Uncertainty. SIAM J. Financial Math. 8(1): 635-671 (2017) - 2016
- [j3]Álvaro Cartea
, Sebastian Jaimungal
, Zhen Qin:
Model Uncertainty in Commodity Markets. SIAM J. Financial Math. 7(1): 1-33 (2016) - [j2]Álvaro Cartea
, Sebastian Jaimungal
:
A Closed-Form Execution Strategy to Target Volume Weighted Average Price. SIAM J. Financial Math. 7(1): 760-785 (2016) - 2014
- [j1]Álvaro Cartea
, Sebastian Jaimungal
, Jason Ricci:
Buy Low, Sell High: A High Frequency Trading Perspective. SIAM J. Financial Math. 5(1): 415-444 (2014)
Coauthor Index
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last updated on 2024-08-05 20:21 CEST by the dblp team
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