Álvaro Cartea
University of Oxford
H-index: 27
Europe-United Kingdom
Top articles of Álvaro Cartea
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Deep attentive survival analysis in limit order books: Estimating fill probabilities with convolutional-transformers | Quantitative Finance | Alvaro Arroyo Alvaro Cartea Fernando Moreno-Pino Stefan Zohren | 2024/1/4 |
Rough Transformers for Continuous and Efficient Time-Series Modelling | arXiv preprint arXiv:2403.10288 | Fernando Moreno-Pino Álvaro Arroyo Harrison Waldon Xiaowen Dong Álvaro Cartea | 2024/3/15 |
A Folk Theorem from Learning in Games | Álvaro Cartea Patrick Chang José Penalva Harrison Waldon | 2023 | |
Optimal execution and speculation with trade signals | arXiv preprint arXiv:2306.00621 | Peter Bank Álvaro Cartea Laura Körber | 2023/6/1 |
Spoofing Order Books with Learning Algorithms | Available at SSRN | Álvaro Cartea Patrick Chang Gabriel García-Arenas | 2023/11/21 |
Optimal execution with stochastic delay | Finance and Stochastics | Álvaro Cartea Leandro Sánchez-Betancourt | 2023/1 |
Automated market makers designs beyond constant functions | Available at SSRN 4459177 | Álvaro Cartea Fayçal Drissi Leandro Sánchez-Betancourt David Siska Lukasz Szpruch | 2023/5/25 |
Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies | Available at SSRN | Álvaro Cartea Mihai Cucuringu Qi Jin | 2023/10/11 |
Conditionally elicitable dynamic risk measures for deep reinforcement learning | SIAM Journal on Financial Mathematics | Anthony Coache Sebastian Jaimungal Álvaro Cartea | 2023/12/31 |
Statistical predictions of trading strategies in electronic markets | Available at SSRN 4442770 | Álvaro Cartea Samuel N Cohen Rob Graumans Saad Labyad Leandro Sánchez-Betancourt | 2023/5/9 |
Decentralised finance and automated market making: Predictable loss and optimal liquidity provision | arXiv preprint arXiv:2309.08431 | Álvaro Cartea Fayçal Drissi Marcello Monga | 2023/9/15 |
Detecting toxic flow | arXiv preprint arXiv:2312.05827 | Álvaro Cartea Gerardo Duran-Martin Leandro Sánchez-Betancourt | 2023/12/10 |
Reinforcement Learning for Algorithmic Trading | Álvaro Cartea Sebastian Jaimungal Leandro Sánchez-Betancourt | 2023/4/30 | |
Execution and statistical arbitrage with signals in multiple automated market makers | Álvaro Cartea Fayçal Drissi Marcello Monga | 2023/7/18 | |
A Similarity-based Approach to Covariance Forecasting | Available at SSRN 4652980 | Álvaro Cartea Mihai Cucuringu Mark Jennings Chao Zhang | 2023/12/1 |
Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets | Applied Mathematical Finance | Álvaro Cartea Fayçal Drissi Marcello Monga | 2023/3/4 |
Bandits for algorithmic trading with signals | Available at SSRN 4484004 | Álvaro Cartea Fayçal Drissi Pierre Osselin | 2023/6/19 |
Correlation Matrix Clustering for Statistical Arbitrage Portfolios | Qi Jin Mihai Cucuringu Álvaro Cartea | 2023/11/27 | |
Algorithmic collusion in electronic markets: The impact of tick size | Available at SSRN 4105954 | Álvaro Cartea Patrick Chang José Penalva | 2022/5/10 |
Double-execution strategies using path signatures | SIAM Journal on Financial Mathematics | Álvaro Cartea Imanol Pérez Arribas Leandro Sánchez-Betancourt | 2022 |
Co-Authors
