Álvaro Cartea : Citation Profile


Are you Álvaro Cartea?

Oxford University

7

H index

6

i10 index

284

Citations

RESEARCH PRODUCTION:

18

Articles

22

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 20
   Journals where Álvaro Cartea has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 12 (4.05 %)

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   Permalink: http://citec.repec.org/pca161
   Updated: 2017-04-22    RAS profile: 2017-04-20    
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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 (14)

Prokopczuk, Marcel (13)

Nowotarski, Jakub (9)

Hurn, Stan (9)

Füss, Roland (9)

Coulon, Michael (8)

Trueck, Stefan (6)

Tomczyk, Jakub (5)

Peresetsky, Anatoly (4)

Chevallier, Julien (4)

Cites to:

Wu, Liuren (12)

Viceira, Luis (9)

Campbell, John (9)

Scalas, Enrico (8)

Figueroa, Marcelo (6)

Raberto, Marco (6)

Barndorff-Nielsen, Ole (5)

Shiller, Robert (5)

Bollerslev, Tim (5)

Andersen, Torben (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

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

Recent works citing Álvaro Cartea (2017 and 2016)


YearTitle of citing document
2016Short-term Hedging for an Electricity Retailer. (2016). Debbie, Genevieve Gauthier ; Godin, Frederic . In: The Energy Journal. RePEc:aen:journl:ej37-2-dupuis.

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2016Utility indifference pricing and hedging for structured contracts in energy markets. (2016). Vargiolu, Tiziano ; Callegaro, Giorgia ; Campi, Luciano . In: Papers. RePEc:arx:papers:1407.7725.

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2016Cointegrating Jumps: an Application to Energy Facilities. (2016). Petroni, Nicola Cufaro ; Sabino, Piergiacomo . In: Papers. RePEc:arx:papers:1509.01144.

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2016Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2016). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian . In: Papers. RePEc:arx:papers:1604.04963.

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2016Economic Accelerator with Memory: Discrete Time Approach. (2016). 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). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060.

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2017Incorporating Signals into Optimal Trading. (2017). Lehalle, Charles-Albert ; Neuman, Eyal . In: Papers. RePEc:arx:papers:1704.00847.

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2016A comparison of different univariate forecasting models forSpot Electricity Price in India. (2016). Tiwari, Aviral ; Girish, G P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00633.

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2017The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Dewandaru, Ginanjar ; Mansur, A ; Bacha, Obiyathulla Ismath ; Masih, Rumi . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95.

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2016Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market. (2016). Pape, Christian ; Weber, Christoph ; Hagemann, Simon . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:376-387.

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2016Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk. (2016). Kang, Sang Baum ; Letourneau, Pascal . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:96-107.

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2016A consistent two-factor model for pricing temperature derivatives. (2016). López Cabrera, Brenda ; Meyer-Brandis, Thilo ; Groll, Andreas ; Lopez-Cabrera, Brenda . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:112-126.

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2016Can market power in the electricity spot market translate into market power in the hedge market?. (2016). Daglish, Toby ; Fiuza, Gabriel Godofredo . In: Energy Economics. RePEc:eee:eneeco:v:58:y:2016:i:c:p:11-26.

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2016Strategic bidding and rebidding in electricity markets. (2016). Hurn, Stan ; Clements, Adam ; Li, Z. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:24-36.

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2016Parametric model risk and power plant valuation. (2016). Bannor, Karl ; Scherer, Matthias ; Nazarova, Anna ; Kiesel, Rudiger . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:423-434.

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2016Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

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2016Market fundamentals, competition and natural-gas prices. (2016). Mulder, Machiel ; Hulshof, Daan ; van der Maat, Jan-Pieter . In: Energy Policy. RePEc:eee:enepol:v:94:y:2016:i:c:p:480-491.

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2016Time-zero efficiency of European power derivatives markets. (2016). Pea, Juan Ignacio ; Rodriguez, Rosa . In: Energy Policy. RePEc:eee:enepol:v:95:y:2016:i:c:p:253-268.

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2016The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model. (2016). Kallabis, Thomas ; Weber, Christoph ; Pape, Christian . In: Energy Policy. RePEc:eee:enepol:v:95:y:2016:i:c:p:280-290.

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2016How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R. In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628.

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2016Estimating the hedging value of an energy exchange in Turkey to a retail power consumer. (2016). Kurucak, Abdurrahman ; Shcherbakova, Anastasia . In: Energy. RePEc:eee:energy:v:101:y:2016:i:c:p:16-26.

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2016Structural models for coupled electricity markets. (2016). Kusterman, Michael ; Kiesel, Rudiger . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:3:y:2016:i:1:p:16-38.

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2016Interconnecting an isolated electricity system to the European market: The case of Malta. (2016). Ries, Jan ; Romerio, Franco ; Gaudard, Ludovic . In: Utilities Policy. RePEc:eee:juipol:v:40:y:2016:i:c:p:1-14.

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2016Pricing equity warrants with a promised lowest price in Merton’s jump–diffusion model. (2016). Zhang, Xili ; Xiao, Weilin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:219-238.

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2017Time 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.

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2016A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems. (2016). Mancarella, P ; Schachter, J A. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:56:y:2016:i:c:p:261-271.

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2016The impact of renewables on electricity prices in Germany – An estimation based on historic spot prices in the years 2011–2013. (2016). Dillig, Marius ; Karl, Jurgen ; Jung, Manuel . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:57:y:2016:i:c:p:7-15.

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2016Utility indifference valuation for non-smooth payoffs with an application to power derivatives. (2016). Benedetti, Giuseppe ; Campi, Luciano . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:63016.

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2017On Long-Term Transmission Rights in the Nordic Electricity Markets. (2017). Spodniak, Petr ; Makkonen, Mari ; Collan, Mikael . In: Energies. RePEc:gam:jeners:v:10:y:2017:i:3:p:295-:d:91913.

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2017A 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.

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2016Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case. (2016). Bello, Antonio ; Muoz, Antonio ; Reneses, Javier . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:3:p:193-:d:65782.

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2016Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case. (2016). Bello, Antonio ; Muoz, Antonio ; Reneses, Javier . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:3:p:193:d:65782.

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2016Electricity Prices, Large-Scale Renewable Integration, and Policy Implications. (2016). Serletis, Apostolos ; Kyritsis, Evangelos ; Andersson, Jonas . In: Discussion Papers. RePEc:hhs:nhhfms:2016_018.

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2016Electricity prices forecast analysis using the extreme value theory. (2016). de Paula, Mario Domingues ; Gomes, Leonardo Lima ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:5:y:2016:i:1:p:1-22.

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2016Investment in electric energy storage under uncertainty: a real options approach. (2016). Fleten, Stein-Erik ; Stein- Erik Fleten, ; Hagfors, Lars Ivar ; Hagspiel, Verena ; Wogrin, Sonja ; Norheim, Beate ; Bakke, Ida . In: Computational Management Science. RePEc:spr:comgts:v:13:y:2016:i:3:d:10.1007_s10287-016-0256-3.

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2016A Structural Model for Electricity Forward Prices. (2016). Benth, Fred Espen ; Paraschiv, Florentina . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:11.

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2016Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market. (2016). Prokopczuk, Marcel ; Hagfors, Lars Ivar ; Westgaard, Sjur ; Paraschiv, Florentina ; Sator, Alma ; Kamperud, Hilde Horthe . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:22.

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2016Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets. (2016). Weron, Rafał ; Trueck, Stefan ; Maryniak, Pawel . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1610.

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2016Operating a swing option on todays gas markets: How least squares Monte Carlo works and why it is beneficial. (2016). Hanfeld, Marc ; Schluter, Stephan . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:102016.

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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.
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2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality.(2005) In: Applied Mathematical Finance.
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This paper has another version. Agregated cites: 114
article
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.
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paper0
2006Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance In: Birkbeck Working Papers in Economics and Finance.
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paper1
2009Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance.(2009) In: Quantitative Finance.
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article
2006Fractional Diffusion Models of Option Prices in Markets with Jumps In: Birkbeck Working Papers in Economics and Finance.
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paper7
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: 7
article
2006UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts In: Birkbeck Working Papers in Economics and Finance.
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paper13
2008UK gas markets: The market price of risk and applications to multiple interruptible supply contracts.(2008) In: Energy Economics.
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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.
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paper49
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: 49
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.
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2007A Multivariate Commodity Analysis and Applications to Risk Management In: Birkbeck Working Papers in Economics and Finance.
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2007Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity In: Birkbeck Working Papers in Economics and Finance.
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paper38
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: 38
article
2007How Does Duration Between Trades of Underlying Securities Affect Option Prices In: Birkbeck Working Papers in Economics and Finance.
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2008Modelling Electricity Prices with Forward Looking Capacity Constraints In: Birkbeck Working Papers in Economics and Finance.
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paper24
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.
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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.
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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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2011Where is the value in high frequency trading? In: Working Papers.
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2015RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES In: Mathematical Finance.
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2010Derivatives pricing with marked point processes using Tick-by-tick data In: DEE - Working Papers. Business Economics. WB.
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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.
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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.
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2010How Duration Between Trades of Underlying Securities Affects Option Prices In: Review of Finance.
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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.
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2004Option Pricing with Levy-Stable Processes In: OFRC Working Papers Series.
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2012Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis In: Applied Mathematical Finance.
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2013Modelling Asset Prices for Algorithmic and High-Frequency Trading In: Applied Mathematical Finance.
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2016The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets In: Econometric Reviews.
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2015Optimal execution with limit and market orders In: Quantitative Finance.
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2009Cross‐commodity analysis and applications to risk management In: Journal of Futures Markets.
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2016Volume Imbalance and Market Making* In: World Scientific Book Chapters.
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