9
H index
9
i10 index
456
Citations
Oxford University | 9 H index 9 i10 index 456 Citations RESEARCH PRODUCTION: 21 Articles 22 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Álvaro Cartea. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Applied Mathematical Finance | 4 |
Quantitative Finance | 3 |
Journal of Banking & Finance | 3 |
International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
Energy Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa | 4 |
OFRC Working Papers Series / Oxford Financial Research Centre | 2 |
Year | Title of citing document | |
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2017 | The Effect of Transmission Constraints on Electricity Prices. (2017). Hurn, Stan ; Clements, Adam ; Li, Zili. In: The Energy Journal. RePEc:aen:journl:ej38-4-hurn. Full description at Econpapers || Download paper | |
2017 | Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2017). Leung, Tim ; Bulthuis, Brian ; Ward, Brian ; Concha, Julio. In: Papers. RePEc:arx:papers:1604.04963. Full description at Econpapers || Download paper | |
2017 | Economic Accelerator with Memory: Discrete Time Approach. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.07913. Full description at Econpapers || Download paper | |
2017 | Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060. Full description at Econpapers || Download paper | |
2018 | Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1704.00847. Full description at Econpapers || Download paper | |
2018 | Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1704.06697. Full description at Econpapers || Download paper | |
2017 | Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico. In: Papers. RePEc:arx:papers:1707.01167. Full description at Econpapers || Download paper | |
2018 | Polynomial processes for power prices. (2018). Ware, Tony ; Larsson, Martin ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1710.10293. Full description at Econpapers || Download paper | |
2017 | Dynamic intersectoral models with power-law memory. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09087. Full description at Econpapers || Download paper | |
2017 | Concept of dynamic memory in economics. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09088. Full description at Econpapers || Download paper | |
2017 | Logistic map with memory from economic model. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09092. Full description at Econpapers || Download paper | |
2018 | Optimal Timing to Trade Along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372. Full description at Econpapers || Download paper | |
2018 | Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1801.10583. Full description at Econpapers || Download paper | |
2018 | Technical Uncertainty in Real Options with Learning. (2018). Jaimungal, Sebastian ; Cartea, Alvaro ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1803.05831. Full description at Econpapers || Download paper | |
2018 | Optimal liquidation under stochastic price impact. (2018). Lorig, Matthew ; Barger, Weston. In: Papers. RePEc:arx:papers:1804.04170. Full description at Econpapers || Download paper | |
2018 | Market Making via Reinforcement Learning. (2018). Koukorinis, Andreas ; Savani, Rahul ; Fearnley, John ; Spooner, Thomas. In: Papers. RePEc:arx:papers:1804.04216. Full description at Econpapers || Download paper | |
2018 | Trading algorithms with learning in latent alpha models. (2018). Jaimungal, Sebastian ; Casgrain, Philippe. In: Papers. RePEc:arx:papers:1806.04472. Full description at Econpapers || Download paper | |
2018 | Order-book modelling and market making strategies. (2018). Fr'ed'eric Abergel, ; Lu, Xiaofei. In: Papers. RePEc:arx:papers:1806.05101. Full description at Econpapers || Download paper | |
2019 | Market Making and Latency. (2019). Wang, Yunhan ; Gao, Xuefeng. In: Papers. RePEc:arx:papers:1806.05849. Full description at Econpapers || Download paper | |
2018 | Trading Cointegrated Assets with Price Impact. (2018). Jaimungal, Sebastian ; Gan, Luhui ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1807.01428. Full description at Econpapers || Download paper | |
2018 | Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1807.01979. Full description at Econpapers || Download paper | |
2019 | Optimal Dynamic Basis Trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1809.05961. Full description at Econpapers || Download paper | |
2019 | Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418. Full description at Econpapers || Download paper | |
2019 | Optimal electricity demand response contracting with responsiveness incentives. (2019). Touzi, Nizar ; Possamai, Dylan ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1810.09063. Full description at Econpapers || Download paper | |
2018 | Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning. (2018). Saporito, Yuri ; Jardim, Gabriel ; Naiff, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1811.08782. Full description at Econpapers || Download paper | |
2019 | High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309. Full description at Econpapers || Download paper | |
2019 | Optimal market making under partial information with general intensities. (2019). Campi, Luciano ; Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:1902.01157. Full description at Econpapers || Download paper | |
2019 | A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1902.09606. Full description at Econpapers || Download paper | |
2019 | Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728. Full description at Econpapers || Download paper | |
2019 | Applications of a New Self-Financing Equation. (2019). Webster, Kevin ; Carmona, Rene. In: Papers. RePEc:arx:papers:1905.04137. Full description at Econpapers || Download paper | |
2019 | European Option Pricing of electricity under exponential functional of L\evy processes with Price-Cap principle. (2019). Wono, Yves Emvudu ; Bogso, Antoine-Marie ; Soh, Patrice Takam ; Kegnenlezom, Martin. In: Papers. RePEc:arx:papers:1906.10888. Full description at Econpapers || Download paper | |
2019 | Katugampola Generalized Conformal Derivative Approach to Inada Conditions and Solow-Swan Economic Growth Model. (2019). Brun-Battistini, D ; Nunez-Zavala, B ; Quezada, L A ; Fern, G. In: Papers. RePEc:arx:papers:1907.00130. Full description at Econpapers || Download paper | |
2019 | Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056. Full description at Econpapers || Download paper | |
2019 | Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (2019). Torricelli, Lorenzo ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1908.03007. Full description at Econpapers || Download paper | |
2019 | Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137. Full description at Econpapers || Download paper | |
2019 | Optimal Convergence Trading with Unobservable Pricing Errors. (2019). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1910.01438. Full description at Econpapers || Download paper | |
2019 | Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Papers. RePEc:arx:papers:1911.04223. Full description at Econpapers || Download paper | |
2019 | Imitation in the Imitation Game. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1911.06893. Full description at Econpapers || Download paper | |
2019 | Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Correia, Adolfo ; Al-Aradi, Ali ; Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo. In: Papers. RePEc:arx:papers:1912.01455. Full description at Econpapers || Download paper | |
2018 | Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1802. Full description at Econpapers || Download paper | |
2018 | LONG-TERM SEASONAL FORWARDS IN ELECTRICITY GENERATION MARKETS: AN APPLICATION TO COLOMBIA. (2018). Tobón Orozco, David ; Villada, Fernando ; Barrientos, Jorge ; Velilla, Esteban ; Tobon-Orozco, David ; Lopez-Lezama, Jesus M. In: REVISTA CUADERNOS DE ECONOMÍA. RePEc:col:000093:016978. Full description at Econpapers || Download paper | |
2018 | Long-term seasonal forwards in electricity generation markets: an application to Colombia. (2018). Tobón Orozco, David ; Villada, Fernando ; Barrientos, Jorge ; Velilla, Esteban ; Tobon-Orozco, David ; Lopez-Lezama, Jesus M. In: REVISTA CUADERNOS DE ECONOMÍA. RePEc:col:000093:016994. Full description at Econpapers || Download paper | |
2017 | Risk and Return in High-Frequency Trading. (2017). Kirilenko, Andrei ; Hagstromer, Bjorn ; Baron, Matthew. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_018. Full description at Econpapers || Download paper | |
2019 | Volatility Spillovers in Electricity Markets: Evidence from the United States. (2019). Kampouris, Ilias ; Armenatzoglou, Aggelos ; Polyzos, Stathis ; Pantos, Themistoclis. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-17. Full description at Econpapers || Download paper | |
2019 | Application of ARIMA Modelling for the Forecasting of Solar, Wind, Spot and Options Electricity Prices: The Australian National Electricity Market. (2019). Wong, Victor ; Tularam, Gurudeo Anand ; Alsaedi, Yasir. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-33. Full description at Econpapers || Download paper | |
2017 | A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. (2017). Chen, Wen ; Wang, Song. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:305:y:2017:i:c:p:174-187. Full description at Econpapers || Download paper | |
2018 | High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application (I). (2018). Zhang, Yuxin ; Ding, Hengfei ; Li, Qian. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:329:y:2018:i:c:p:432-443. Full description at Econpapers || Download paper | |
2018 | Selection of shape parameter in radial basis functions for solution of time-fractional Black–Scholes models. (2018). Haq, Sirajul ; Hussain, Manzoor. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:335:y:2018:i:c:p:248-263. Full description at Econpapers || Download paper | |
2018 | Macroeconomic models with long dynamic memory: Fractional calculus approach. (2018). Tarasov, Vasily E ; Tarasova, Valentina V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:338:y:2018:i:c:p:466-486. Full description at Econpapers || Download paper | |
2018 | Fast numerical simulation of a new time-space fractional option pricing model governing European call option. (2018). Zhang, H ; Chen, J ; Anh, V ; Liu, F. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:339:y:2018:i:c:p:186-198. Full description at Econpapers || Download paper | |
2019 | Radial basis functions method for solving the fractional diffusion equations. (2019). Zafarghandi, Fahimeh Saberi ; Javadi, Shahnam ; Babolian, Esmail ; Mohammadi, Maryam. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:342:y:2019:i:c:p:224-246. Full description at Econpapers || Download paper | |
2017 | A probabilistic portfolio-based model for financial valuation of community solar. (2017). Shakouri, Mahmoud ; Kim, Yong-Woo ; Lee, Hyun Woo . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:709-726. Full description at Econpapers || Download paper | |
2019 | A higher-order Markov chain-modulated model for electricity spot-price dynamics. (2019). Xiong, Heng ; Mamon, Rogemar. In: Applied Energy. RePEc:eee:appene:v:233-234:y:2019:i::p:495-515. Full description at Econpapers || Download paper | |
2019 | On the impact of outlier filtering on the electricity price forecasting accuracy. (2019). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:196-210. Full description at Econpapers || Download paper | |
2019 | Modeling wind power investments, policies and social benefits for deregulated electricity market – A review. (2019). Iniyan, S ; Chinmoy, Lakshmi ; Goic, Ranko. In: Applied Energy. RePEc:eee:appene:v:242:y:2019:i:c:p:364-377. Full description at Econpapers || Download paper | |
2018 | Optimal order execution using hidden orders. (2018). Chen, Yuanyuan ; Li, Duan ; Gao, Xuefeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:89-116. Full description at Econpapers || Download paper | |
2017 | Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. (2017). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:228-247. Full description at Econpapers || Download paper | |
2017 | Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42. Full description at Econpapers || Download paper | |
2018 | Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82. Full description at Econpapers || Download paper | |
2017 | Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734. Full description at Econpapers || Download paper | |
2019 | Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023. Full description at Econpapers || Download paper | |
2017 | The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Masih, Abul ; Bacha, Obiyathulla ; Mansur, A ; Dewandaru, Ginanjar. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95. Full description at Econpapers || Download paper | |
2018 | Simulating historical inflation-linked bond returns. (2018). Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:374-389. Full description at Econpapers || Download paper | |
2017 | A rough multi-factor model of electricity spot prices. (2017). Bennedsen, Mikkel . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:301-313. Full description at Econpapers || Download paper | |
2017 | Electricity price modeling with stochastic time change. (2017). Borovkova, Svetlana ; Schmeck, Maren Diane . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:51-65. Full description at Econpapers || Download paper | |
2017 | Hedging size risk: Theory and application to the US gas market. (2017). Roncoroni, Andrea ; Id, Rachid . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:415-437. Full description at Econpapers || Download paper | |
2017 | Investing in vertical integration: electricity retail market participation. (2017). Fiuza, Gabriel Godofredo ; Daglish, Toby . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:355-365. Full description at Econpapers || Download paper | |
2017 | A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302. Full description at Econpapers || Download paper | |
2018 | A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582. Full description at Econpapers || Download paper | |
2019 | Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164. Full description at Econpapers || Download paper | |
2019 | A seasonal copula mixture for hedging the clean spark spread with wind power futures. (2019). Hog, Esben ; Pircalabu, Anca ; Christensen, Troels Sonderby. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:64-80. Full description at Econpapers || Download paper | |
2019 | Mean-reverting no-arbitrage additive models for forward curves in energy markets. (2019). Vargiolu, Tiziano ; Latini, Luca ; Piccirilli, Marco. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:157-170. Full description at Econpapers || Download paper | |
2019 | Speculative trading of electricity contracts in interconnected locations. (2019). Jaimungal, Sebastian ; Cartea, Alvaro ; Qin, Zhen. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:3-20. Full description at Econpapers || Download paper | |
2019 | Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Maryniak, Pawe ; Truck, Stefan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58. Full description at Econpapers || Download paper | |
2019 | Screening instruments for monitoring market power — The Return on Withholding Capacity Index (RWC). (2019). Bodnar, Olivia ; Bataille, Marc ; Thorwarth, Susanne ; Steinmetz, Alexander. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:227-237. Full description at Econpapers || Download paper | |
2018 | European power markets–A journey towards efficiency. (2018). Morales, Lucia ; Hanly, Jim. In: Energy Policy. RePEc:eee:enepol:v:116:y:2018:i:c:p:78-85. Full description at Econpapers || Download paper | |
2018 | Managing electricity price modeling risk via ensemble forecasting: The case of Turkey. (2018). Avci, Ezgi ; van Heck, Eric ; Ketter, Wolfgang. In: Energy Policy. RePEc:eee:enepol:v:123:y:2018:i:c:p:390-403. Full description at Econpapers || Download paper | |
2018 | Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196. Full description at Econpapers || Download paper | |
2019 | Fast and slow informed trading. (2019). Rou, Ioanid . In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:1-30. Full description at Econpapers || Download paper | |
2018 | A space-time random field model for electricity forward prices. (2018). Benth, Fred Espen ; Paraschiv, Florentina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:203-216. Full description at Econpapers || Download paper | |
2018 | Optimal forward trading and battery control under renewable electricity generation. (2018). Hinz, Juri ; Yee, Jeremy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:244-254. Full description at Econpapers || Download paper | |
2018 | Managing renewable energy production risk. (2018). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | |
2019 | Ultra-fast activity and intraday market quality. (2019). Tapia, Mikel ; Penalva, Jose ; Payne, Richard ; Cartea, Alvaro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:157-181. Full description at Econpapers || Download paper | |
2018 | The impact of the 2030 Climate and Energy Framework Agreement on electricity prices in MIBEL: A mixed-methods approach. (2018). Estevo, Joo ; Raposo, Clara . In: Journal of Business Research. RePEc:eee:jbrese:v:89:y:2018:i:c:p:411-417. Full description at Econpapers || Download paper | |
2018 | Latent jump diffusion factor estimation for commodity futures. (2018). Tang, KE ; Medova, Elena ; Dempster, M. A. H., . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:35-54. Full description at Econpapers || Download paper | |
2018 | Electricity markets around the world. (2018). Trueck, Stefan ; Truck, Stefan ; Mayer, Klaus . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100. Full description at Econpapers || Download paper | |
2018 | Forward risk premia in long-term transmission rights: The case of electricity price area differentials (EPAD) in the Nordic electricity market. (2018). Spodniak, Petr ; Collan, Mikael. In: Utilities Policy. RePEc:eee:juipol:v:50:y:2018:i:c:p:194-206. Full description at Econpapers || Download paper | |
2018 | The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets. (2018). Moriyasu, Hiroshi ; Yu, Jing ; Wee, Marvin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:103-128. Full description at Econpapers || Download paper | |
2019 | Algorithmic and high frequency trading in Asia-Pacific, now and the future. (2019). Kalev, Petko S ; Zhou, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:186-207. Full description at Econpapers || Download paper | |
2017 | Time fractional capital-induced labor migration model. (2017). Balci, Mehmet Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:477:y:2017:i:c:p:91-98. Full description at Econpapers || Download paper | |
2018 | Economic analysis of a residential PV system from the timing perspective: A real option model. (2018). Moon, Yongma ; Baran, Mesut. In: Renewable Energy. RePEc:eee:renene:v:125:y:2018:i:c:p:783-795. Full description at Econpapers || Download paper | |
2018 | Analysis of risk premium in UK natural gas futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:621-636. Full description at Econpapers || Download paper | |
2019 | Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources. (2019). Nan, Fany ; Grossi, Luigi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:141:y:2019:i:c:p:305-318. Full description at Econpapers || Download paper | |
2017 | Determinants of power spreads in electricity futures markets: A multinational analysis. (2017). Spodniak, Petr ; Bertsch, Valentin. In: Papers. RePEc:esr:wpaper:wp580. Full description at Econpapers || Download paper | |
2017 | TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES. (2017). Gurgul, Henryk ; Machno, Artur. In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:1:p:91-114. Full description at Econpapers || Download paper | |
2017 | On Long-Term Transmission Rights in the Nordic Electricity Markets. (2017). Spodniak, Petr ; Collan, Mikael ; Makkonen, Mari . In: Energies. RePEc:gam:jeners:v:10:y:2017:i:3:p:295-:d:91913. Full description at Econpapers || Download paper | |
2017 | A Dynamic Economic Dispatch Model for Uncertain Power Demands in an Interconnected Microgrid. (2017). Jang, Young-Sik ; Kim, Mun-Kyeom. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:3:p:300-:d:92057. Full description at Econpapers || Download paper | |
2018 | Electricity Price Forecasting Using Recurrent Neural Networks. (2018). Ugurlu, Umut ; Tas, Oktay ; Oksuz, Ilkay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1255-:d:146305. Full description at Econpapers || Download paper | |
2019 | A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange. (2019). Shimada, Koji ; Maekawa, Jun. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:15:p:2946-:d:253507. Full description at Econpapers || Download paper | |
2018 | Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Gunay, Samet ; Khaki, Audil Rashid . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:30-:d:151623. Full description at Econpapers || Download paper | |
2017 | A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices. (2017). Leonhardt, Daniel ; Zagst, Rudi ; Ware, Antony. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2005 | Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 166 |
2005 | Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality.(2005) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 166 | paper | |
2005 | Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality.(2005) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 166 | article | |
2005 | Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
2006 | Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 1 |
2009 | Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2006 | Fractional Diffusion Models of Option Prices in Markets with Jumps In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 17 |
2007 | Fractional diffusion models of option prices in markets with jumps.(2007) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
2006 | UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 25 |
2008 | UK gas markets: The market price of risk and applications to multiple interruptible supply contracts.(2008) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2006 | Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 61 |
2008 | Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium.(2008) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | article | |
2007 | On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 1 |
2007 | A Multivariate Commodity Analysis and Applications to Risk Management In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 5 |
2007 | Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 52 |
2008 | Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity.(2008) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2007 | How Does Duration Between Trades of Underlying Securities Affect Option Prices In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
2008 | Modelling Electricity Prices with Forward Looking Capacity Constraints In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 29 |
2009 | Modelling Electricity Prices with Forward Looking Capacity Constraints.(2009) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2009 | Volatility and Covariation of Financial Assets: A High-Frequency Analysis In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 6 |
2009 | Volatility and covariation of financial assets: a high-frequency analysis.(2009) In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2011 | Volatility and covariation of financial assets: A high-frequency analysis.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2009 | The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 2 |
2009 | The relationship between the volatility of returns and the number of jumps in financial markets.(2009) In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2011 | Where is the value in high frequency trading? In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2012 | Where is the Value in High Frequency Trading?.(2012) In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2015 | RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES In: Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
2010 | Derivatives pricing with marked point processes using Tick-by-tick data In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 1 |
2013 | Derivatives pricing with marked point processes using tick-by-tick data.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2010 | How much should we pay for interconnecting electricity markets? A real options approach In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 18 |
2012 | How much should we pay for interconnecting electricity markets? A real options approach.(2012) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2012 | Optimal portfolio choice in real terms: Measuring the benefits of TIPS In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
2010 | How Duration Between Trades of Underlying Securities Affects Option Prices In: Review of Finance. [Full Text][Citation analysis] | article | 2 |
2009 | How Duration Between Trades of Underlying Securities Affects Option Prices.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2002 | Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
2004 | Option Pricing with Levy-Stable Processes In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
2013 | Modelling Asset Prices for Algorithmic and High-Frequency Trading In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
2015 | Optimal execution with limit and market orders In: Quantitative Finance. [Full Text][Citation analysis] | article | 15 |
2009 | Cross‐commodity analysis and applications to risk management In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 6 |
2016 | ALGORITHMIC TRADING WITH LEARNING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 7 |
2016 | ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 6 |
2016 | Volume Imbalance and Market Making* In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2nd 2019. Contact: CitEc Team