Álvaro Cartea : Citation Profile

Are you Álvaro Cartea?

Oxford University

10

H index

10

i10 index

494

Citations

RESEARCH PRODUCTION:

21

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 35
   Journals where Álvaro Cartea has often published
   Relations with other researchers
   Recent citing documents: 159.    Total self citations: 16 (3.14 %)

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   Permalink: http://citec.repec.org/pca161
   Updated: 2020-08-01    RAS profile: 2018-12-10    
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Relations with other researchers

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:

Weron, Rafał (38)

Janczura, Joanna (14)

Hurn, Stan (12)

Prokopczuk, Marcel (12)

Füss, Roland (9)

Vargiolu, Tiziano (9)

Nowotarski, Jakub (9)

Trueck, Stefan (9)

Coulon, Michael (8)

Novales, Alfonso (8)

Leung, Tim (6)

Cites to:

Scalas, Enrico (12)

Campbell, John (8)

Raberto, Marco (8)

Wu, Liuren (8)

Viceira, Luis (8)

Figueroa, Marcelo (6)

Barndorff-Nielsen, Ole (5)

Andersen, Torben (5)

Shiller, Robert (5)

Bollerslev, Tim (5)

Diebold, Francis (4)

Main data

Where Álvaro Cartea has published?

Journals with more than one article published# docs
Applied Mathematical Finance4
Quantitative Finance3
Journal of Banking & Finance3
Energy Economics2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa4
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Álvaro Cartea (2018 and 2017)

YearTitle of citing document
2017The Effect of Transmission Constraints on Electricity Prices. (2017). Hurn, Stan ; Clements, Adam ; Li, Zili. In: The Energy Journal. RePEc:aen:journl:ej38-4-hurn.

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2018Modelling Electricity Swaps with Stochastic Forward Premium Models. (2018). Rodriguez, Rosa ; Pea, Juan Ignacio. In: The Energy Journal. RePEc:aen:journl:ej39-2-pena.

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2017Optimal 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.

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2017Economic Accelerator with Memory: Discrete Time Approach. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.07913.

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2017Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060.

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2018Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1704.00847.

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2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1704.06697.

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2017Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico. In: Papers. RePEc:arx:papers:1707.01167.

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2018Additive energy forward curves in a Heath-Jarrow-Morton framework. (2018). Vargiolu, Tiziano ; Piccirilli, Marco ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1709.03310.

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2018Polynomial processes for power prices. (2018). Ware, Tony ; Larsson, Martin ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1710.10293.

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2017Dynamic intersectoral models with power-law memory. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09087.

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2017Concept of dynamic memory in economics. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09088.

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2017Logistic map with memory from economic model. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09092.

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2018Optimal Timing to Trade Along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372.

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2018Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1801.10583.

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2018Technical Uncertainty in Real Options with Learning. (2018). Jaimungal, Sebastian ; Cartea, Alvaro ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1803.05831.

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2018Optimal liquidation under stochastic price impact. (2018). Lorig, Matthew ; Barger, Weston. In: Papers. RePEc:arx:papers:1804.04170.

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2018Market Making via Reinforcement Learning. (2018). Koukorinis, Andreas ; Savani, Rahul ; Fearnley, John ; Spooner, Thomas. In: Papers. RePEc:arx:papers:1804.04216.

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2018Trading algorithms with learning in latent alpha models. (2018). Jaimungal, Sebastian ; Casgrain, Philippe. In: Papers. RePEc:arx:papers:1806.04472.

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2018Order-book modelling and market making strategies. (2018). Fr'ed'eric Abergel, ; Lu, Xiaofei. In: Papers. RePEc:arx:papers:1806.05101.

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2020Market Making and Latency. (2019). Wang, Yunhan ; Gao, Xuefeng. In: Papers. RePEc:arx:papers:1806.05849.

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2018Trading Cointegrated Assets with Price Impact. (2018). Jaimungal, Sebastian ; Gan, Luhui ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1807.01428.

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2018Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1807.01979.

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2019Optimal Dynamic Basis Trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1809.05961.

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2019Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418.

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2019Optimal electricity demand response contracting with responsiveness incentives. (2019). Touzi, Nizar ; Possamai, Dylan ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1810.09063.

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2018Solving 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.

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2019High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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2020Optimal market making under partial information with general intensities. (2019). Campi, Luciano ; Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:1902.01157.

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2019A 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.

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2019Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728.

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2019Applications of a New Self-Financing Equation. (2019). Webster, Kevin ; Carmona, Rene. In: Papers. RePEc:arx:papers:1905.04137.

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2019European 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.

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2019Katugampola 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.

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2019Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2020Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (2019). Torricelli, Lorenzo ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1908.03007.

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2020Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137.

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2019Optimal Convergence Trading with Unobservable Pricing Errors. (2019). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1910.01438.

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2019Optimal 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.

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2019Imitation in the Imitation Game. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1911.06893.

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2020Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1912.01455.

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2020Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810.

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2020Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786.

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2020A note on Almgren-Chriss optimal execution problem with geometric Brownian motion. (2020). Benveniste, Jerome ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2006.11426.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:627.

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2018Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1802.

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2018LONG-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.

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2018Long-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.

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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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2017Risk and Return in High-Frequency Trading. (2017). Kirilenko, Andrei ; Hagstromer, Bjorn ; Baron, Matthew. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_018.

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2019Volatility 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.

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2019Application 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.

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2020Consumer Surplus Changing in the Transition from State Natural Monopoly to the Competitive Market in the Electricity Sector in the Developing Countries: Azerbaijan Case. (2020). Gulali, Mayis ; Askerov, Ramil Ramiz ; Salahov, Fariz Rafiq ; Abasova, Samira Tahmazqizi ; Mamedova, Gulnara Vaqifqizi ; Yuzbashiyeva, Gulshen Zahidqizi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-32.

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2017A 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.

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2018High-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.

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2018Selection 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.

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2018Macroeconomic 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.

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2018Fast 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.

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2019Radial 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.

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2017A 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.

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2019A 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.

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2019On 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.

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2019Modeling 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.

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2018Optimal 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.

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2017Long-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.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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2017Econometric 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.

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2020Asymptotic theory for near integrated processes driven by tempered linear processes. (2020). Phillips, Peter ; Sabzikar, Farzad ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:192-202.

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2018Volatility 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.

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2017Electricity 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.

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2019Long-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.

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2020Risk management of renewable power producers from co-dependencies in cash flows. (2020). Owusu, Abena ; Kar, Koushik ; Gupta, Aparna ; Bhattacharya, Saptarshi. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:1081-1093.

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2020Optimal trading of imbalance options for power systems using an energy storage device. (2020). Duck, Peter ; Szabo, David Zoltan ; Johnson, Paul. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:3-22.

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2017The 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.

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2018Simulating 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.

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2017A 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.

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2017Electricity 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.

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2017Hedging 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.

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2017Investing 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.

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2017A 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.

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2018A 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.

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2019Forecasting 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.

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2019A 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.

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2019Mean-reverting no-arbitrage additive models for forward curves in energy markets. (2019). Vargiolu, Tiziano ; Piccirilli, Marco ; Latini, Luca. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:157-170.

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2019Speculative trading of electricity contracts in interconnected locations. (2019). Qin, Zhen ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:3-20.

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2019Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Truck, Stefan ; Maryniak, Pawe. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58.

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2019Screening 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.

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2018European 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.

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2018Managing 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.

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2020Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis. (2020). Spodniak, Petr ; Bertsch, Valentin. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220301572.

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2018Momentum 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.

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2019Fast and slow informed trading. (2019). Rou, Ioanid . In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:1-30.

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2018A 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.

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2018Optimal 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.

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2018Managing 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.

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2019Ultra-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.

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2018The 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.

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2018Latent 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.

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2018Electricity 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.

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2018Forward 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.

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2020A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing. (2020). Wang, Song ; Chen, Wen. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:171:y:2020:i:c:p:279-293.

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More than 100 citations found, this list is not complete...

Works by Álvaro Cartea:

YearTitleTypeCited
2005Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper176
2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality.(2005) In: Applied Mathematical Finance.
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2005Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality.(2005) In: Finance.
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This paper has another version. Agregated cites: 176		paper
2005Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper0
2006Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper1
2009Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance.(2009) In: Quantitative Finance.
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This paper has another version. Agregated cites: 1		article
2006Fractional Diffusion Models of Option Prices in Markets with Jumps In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper21
2007Fractional diffusion models of option prices in markets with jumps.(2007) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 21		article
2006UK 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]		paper27
2008UK gas markets: The market price of risk and applications to multiple interruptible supply contracts.(2008) In: Energy Economics.
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This paper has another version. Agregated cites: 27		article
2006Pricing 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]		paper64
2008Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium.(2008) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 64		article
2007On 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]		paper2
2007A Multivariate Commodity Analysis and Applications to Risk Management In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper5
2007Spot 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]		paper55
2008Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity.(2008) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 55		article
2007How Does Duration Between Trades of Underlying Securities Affect Option Prices In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper0
2008Modelling Electricity Prices with Forward Looking Capacity Constraints In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper29
2009Modelling Electricity Prices with Forward Looking Capacity Constraints.(2009) In: Applied Mathematical Finance.
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This paper has another version. Agregated cites: 29		article
2009Volatility and Covariation of Financial Assets: A High-Frequency Analysis In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper6
2009Volatility and covariation of financial assets: a high-frequency analysis.(2009) In: DEE - Working Papers. Business Economics. WB.
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2011Volatility and covariation of financial assets: A high-frequency analysis.(2011) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 6		article
2009The 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]		paper4
2009The relationship between the volatility of returns and the number of jumps in financial markets.(2009) In: DEE - Working Papers. Business Economics. WB.
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This paper has another version. Agregated cites: 4		paper
2016The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets.(2016) In: Econometric Reviews.
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This paper has another version. Agregated cites: 4		article
2011Where is the value in high frequency trading? In: Working Papers.
[Full Text][Citation analysis]		paper16
2012Where is the Value in High Frequency Trading?.(2012) In: Quarterly Journal of Finance (QJF).
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This paper has another version. Agregated cites: 16		article
2015RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES In: Mathematical Finance.
[Full Text][Citation analysis]		article11
2010Derivatives pricing with marked point processes using Tick-by-tick data In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper2
2013Derivatives pricing with marked point processes using tick-by-tick data.(2013) In: Quantitative Finance.
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This paper has another version. Agregated cites: 2		article
2010How much should we pay for interconnecting electricity markets? A real options approach In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper18
2012How much should we pay for interconnecting electricity markets? A real options approach.(2012) In: Energy Economics.
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2012Optimal portfolio choice in real terms: Measuring the benefits of TIPS In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article5
2010How Duration Between Trades of Underlying Securities Affects Option Prices In: Review of Finance.
[Full Text][Citation analysis]		article3
2009How Duration Between Trades of Underlying Securities Affects Option Prices.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 3		paper
2002Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing In: OFRC Working Papers Series.
[Full Text][Citation analysis]		paper4
2004Option Pricing with Levy-Stable Processes In: OFRC Working Papers Series.
[Full Text][Citation analysis]		paper0
2012Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2013Modelling Asset Prices for Algorithmic and High-Frequency Trading In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article7
2015Optimal execution with limit and market orders In: Quantitative Finance.
[Full Text][Citation analysis]		article18
2009Cross‐commodity analysis and applications to risk management In: Journal of Futures Markets.
[Full Text][Citation analysis]		article7
2016ALGORITHMIC TRADING WITH LEARNING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article7
2016ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article6
2016Volume Imbalance and Market Making* In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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