Found: 11

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  • Hedging nontradable risks with transaction costs and price impact.

    Published in:
    Mathematical Finance, 2020, v. 30, n. 3, p. 833, doi. 10.1111/mafi.12259
    By:
    • Cartea, Álvaro;
    • Donnelly, Ryan;
    • Jaimungal, Sebastian
    Publication type:
    Article

  • Trading co‐integrated assets with price impact.

    Published in:
    Mathematical Finance, 2019, v. 29, n. 2, p. 542, doi. 10.1111/mafi.12181
    By:
    • Cartea, Álvaro;
    • Gan, Luhui;
    • Jaimungal, Sebastian
    Publication type:
    Article

  • RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES.

    Published in:
    Mathematical Finance, 2015, v. 25, n. 3, p. 576, doi. 10.1111/mafi.12023
    By:
    • Cartea, Álvaro;
    • Jaimungal, Sebastian
    Publication type:
    Article

  • Optimal execution with stochastic delay.

    Published in:
    Finance & Stochastics, 2023, v. 27, n. 1, p. 1, doi. 10.1007/s00780-022-00491-w
    By:
    • Cartea, Álvaro;
    • Sánchez-Betancourt, Leandro
    Publication type:
    Article

  • Cross-commodity analysis and applications to risk management.

    Published in:
    Journal of Futures Markets, 2009, v. 29, n. 3, p. 197, doi. 10.1002/fut.20359
    By:
    • Börger, Reik;
    • Cartea, Álvaro;
    • Kiesel, Rüdiger;
    • Schindlmayr, Gero
    Publication type:
    Article

  • LATENCY AND LIQUIDITY RISK.

    Published in:
    International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 6n7, p. 1, doi. 10.1142/S0219024921500357
    By:
    • CARTEA, ÁLVARO;
    • JAIMUNGAL, SEBASTIAN;
    • SÁNCHEZ-BETANCOURT, LEANDRO
    Publication type:
    Article

  • MARKET MAKING WITH ALPHA SIGNALS.

    Published in:
    International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 3, p. N.PAG, doi. 10.1142/S0219024920500168
    By:
    • CARTEA, ÁLVARO;
    • WANG, YIXUAN
    Publication type:
    Article

  • TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE.

    Published in:
    International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 3, p. N.PAG, doi. 10.1142/S0219024918500255
    By:
    • CARTEA, ÁLVARO;
    • JAIMUNGAL, SEBASTIAN;
    • RICCI, JASON
    Publication type:
    Article

  • IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION.

    Published in:
    International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 7, p. -1, doi. 10.1142/S0219024917500443
    By:
    • CARTEA, ÁLVARO;
    • JAIMUNGAL, SEBASTIAN
    Publication type:
    Article

  • ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS.

    Published in:
    International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 6, p. -1, doi. 10.1142/S0219024916500382
    By:
    • CARTEA, ÁLVARO;
    • JAIMUNGAL, SEBASTIAN
    Publication type:
    Article

  • ALGORITHMIC TRADING WITH LEARNING.

    Published in:
    International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 4, p. -1, doi. 10.1142/S021902491650028X
    By:
    • CARTEA, ÁLVARO;
    • JAIMUNGAL, SEBASTIAN;
    • KINZEBULATOV, DAMIR
    Publication type:
    Article