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Cartea, Álvaro; Jaimungal, Sebastian; Penalva, José - 2015

Persistent link: https://www.econbiz.de/10011309784

Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10011523847

Risk metrics and fine tuning of high-frequency trading strategies

Cartea, Álvaro; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 576-611

Persistent link: https://www.econbiz.de/10011350564

Trading strategies within the edges of no-arbitrage

Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10011889457

Ultra-fast activity and intraday market quality

Cartea, Álvaro; Payne, Richard; Penalva, José; Tapia, … - In: Journal of banking & finance 99 (2019), pp. 157-181

Persistent link: https://www.econbiz.de/10012162376

Enhancing trading strategies with order book signals

Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35

Persistent link: https://www.econbiz.de/10011959112

Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

Persistent link: https://www.econbiz.de/10010235563

Where is the value in high frequency trading?

Cartea, Álvaro; Penalva, José - 2011

Persistent link: https://www.econbiz.de/10009349583

Where is the value in high frequency trading?

Cartea, Álvaro; Penalva, José - In: The quarterly journal of finance 2 (2012) 3, pp. 1401-1446

Persistent link: https://www.econbiz.de/10009679960

Bandits for Algorithmic Trading with Signals

Cartea, Álvaro; Drissi, Fayçal; Osselin, Pierre - 2023

We propose a class of execution algorithms that consists of a strategic layer and a speculative layer. The strategic layer is an optimal trading schedule that encodes the trader's objective, her tolerance to risk, and the impact of her own trades in the market. The schedule of the strategic...

Persistent link: https://www.econbiz.de/10014353755