Álvaro Cartea : Citation Profile

Are you Álvaro Cartea?

Oxford University

10

H index

10

i10 index

514

Citations

RESEARCH PRODUCTION:

21

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 36
   Journals where Álvaro Cartea has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 16 (3.02 %)

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   Permalink: http://citec.repec.org/pca161
   Updated: 2021-03-27    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 (35)

Janczura, Joanna (13)

Prokopczuk, Marcel (12)

Hurn, Stan (11)

Vargiolu, Tiziano (10)

Füss, Roland (9)

Novales, Alfonso (9)

Trueck, Stefan (9)

Nowotarski, Jakub (8)

Clements, Adam (6)

Leung, Tim (6)

Cites to:

Scalas, Enrico (12)

Viceira, Luis (8)

Wu, Liuren (8)

Campbell, John (8)

Raberto, Marco (8)

Figueroa, Marcelo (6)

Andersen, Torben (5)

Shiller, Robert (5)

Bollerslev, Tim (5)

Barndorff-Nielsen, Ole (5)

Diebold, Francis (4)

Main data

Where Álvaro Cartea has published?

Journals with more than one article published# docs
Applied Mathematical Finance4
Journal of Banking & Finance3
Quantitative 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 (2021 and 2020)

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

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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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2021Optimal 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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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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2020Optimal market making under partial information and numerical methods for impulse control games with applications. (2020). Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:2009.06521.

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2020Hybrid Modelling Approaches for Forecasting Energy Spot Prices in EPEC market. (2020). Contu, Alessandro ; Miriyev, Tahir ; Ion, Ion Gabriel ; Schafers, Kevin. In: Papers. RePEc:arx:papers:2010.08400.

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2020Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price. (2020). Korn, Ralf ; Hinderks, Wieger ; Wagner, Andreas. In: Papers. RePEc:arx:papers:2011.03987.

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2020Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

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2021On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2021Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917.

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2021Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts. (2021). Yu, Chuyi ; Jos'e E. Figueroa-L'opez, ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2101.03086.

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2021Liquidity Stress Testing using Optimal Portfolio Liquidation. (2021). Baldacci, Bastien ; Manziuk, Iuliia ; Weber, Mike. In: Papers. RePEc:arx:papers:2102.02877.

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2020Performance estimation of a wind farm with a dependence structure between electricity price and wind speed. (2020). D'Amico, Guglielmo ; Casula, Laura ; Petroni, Filippo ; Masala, Giovanni. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:10:p:2803-2822.

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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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2020Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation. (2020). Fadugba, Sunday Emmanuel. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920307463.

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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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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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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

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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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2020Intraday market making with overnight inventory costs. (2020). Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias ; Zhang, Hongzhong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331.

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2020Probabilistic forecasting in day-ahead electricity markets: Simulating peak and off-peak prices. (2020). Ziel, Florian ; Muniain, Peru. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1193-1210.

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2020Commodity market flexibility and financial derivatives. (2020). Tvedt, Jostein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851319300595.

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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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2021A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation. (2021). Meng, Jing ; Yang, Liu ; Gu, Xian-Ming ; Luo, Wei-Hua. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:182:y:2021:i:c:p:1-24.

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2020Efficient hedging currency options in fractional Brownian motion model with jumps. (2020). Ri, Ju-Hyang ; Ju, Dong-Chol ; Kim, Nam-Ung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316309.

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2020Trade duration risk in subdiffusive financial models. (2020). Torricelli, Lorenzo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320588.

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2020The impact of renewables on electricity prices in Germany - An update for the years 2014–2018. (2020). Dillig, Marius ; Kolb, Sebastian ; Karl, Jurgen ; Plankenbuhler, Thomas. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:134:y:2020:i:c:s1364032120305955.

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2020Jumps in the convenience yield of crude oil. (2020). Wilmot, Neil ; Mason, Charles. In: Resource and Energy Economics. RePEc:eee:resene:v:60:y:2020:i:c:s0928765518302744.

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2020High frequency momentum trading with cryptocurrencies. (2020). Zhang, Yuanyuan ; Chan, Stephen ; Chu, Jeffrey. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919308062.

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2020Optimal liquidation under partial information with price impact. (2020). Szolgyenyi, Michaela ; Frey, Rudiger ; Eksi, Zehra ; Colaneri, Katia. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1913-1946.

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2020Predictive Trading Strategy for Physical Electricity Futures. (2020). Ramirez-Rosado, Ignacio J ; Fernandez-Jimenez, Alfredo L ; Monteiro, Claudio. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3555-:d:382736.

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2020Price Forecasting for the Balancing Energy Market Using Machine-Learning Regression. (2020). Kotsakis, Evangelos ; Pegios, Konstantinos ; Lucas, Alexandre ; Clarke, Dan. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:20:p:5420-:d:430252.

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2020Determinants of the Forward Premium in the Nord Pool Electricity Market. (2020). Haugom, Erik ; Molnar, Peter ; Tysdahl, Magne. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:5:p:1111-:d:327348.

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2020.

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2020A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model. (2020). Nikan, Omid ; Golbabai, Ahmad. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-019-09880-4.

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2020High Frequency Trading: Strategic Competition Between Slow and Fast Traders. (2020). Germain, Laurent ; Boco, Herve ; Rousseau, Fabrice. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n296-20.pdf.

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2020Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-10.

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2020Probabilidad de incumplimiento en inversiones de infraestructura: análisis a partir de modelos estructurales de riesgo de crédito || Probability of default in infrastructure projects: analysis from st. (2020). Zapata, Carlos Andres. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:30:y:2020:i:1:p:327-345.

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2020Stochastic multifactor models in risk management of energy futures. (2020). Guo, Ziyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1918-1934.

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2020Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market. (2020). Kwon, Kyungyoon ; Kang, Jangkoo ; Kim, Wooyeon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:164-191.

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2020Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach. (2020). Lai, Kin Keung ; Wang, Junwei ; Liang, Zhicheng. In: International Journal of Information Technology & Decision Making (IJITDM). RePEc:wsi:ijitdm:v:19:y:2020:i:01:n:s0219622019500445.

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2020Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052020.

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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]		paper178
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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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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2006Fractional Diffusion Models of Option Prices in Markets with Jumps In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper22
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: 22		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]		paper28
2008UK gas markets: The market price of risk and applications to multiple interruptible supply contracts.(2008) In: Energy Economics.
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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]		paper66
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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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]		paper3
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]		paper57
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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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]		paper30
2009Modelling Electricity Prices with Forward Looking Capacity Constraints.(2009) In: Applied Mathematical Finance.
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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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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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2011Where is the value in high frequency trading? In: Working Papers.
[Full Text][Citation analysis]		paper15
2012Where is the Value in High Frequency Trading?.(2012) In: Quarterly Journal of Finance (QJF).
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2015RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES In: Mathematical Finance.
[Full Text][Citation analysis]		article14
2010Derivatives pricing with marked point processes using Tick-by-tick data In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper3
2013Derivatives pricing with marked point processes using tick-by-tick data.(2013) In: Quantitative Finance.
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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]		article6
2010How Duration Between Trades of Underlying Securities Affects Option Prices In: Review of Finance.
[Full Text][Citation analysis]		article4
2009How Duration Between Trades of Underlying Securities Affects Option Prices.(2009) In: MPRA Paper.
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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]		article8
2015Optimal execution with limit and market orders In: Quantitative Finance.
[Full Text][Citation analysis]		article20
2009Cross‐commodity analysis and applications to risk management In: Journal of Futures Markets.
[Full Text][Citation analysis]		article8
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]		article7
2016Volume Imbalance and Market Making* In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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