Details about Álvaro Cartea

Access statistics for papers by Álvaro Cartea.

Last updated 2018-12-10. Update your information in the RePEc Author Service.

Short-id: pca161

Working Papers

2011

1. Where is the value in high frequency trading?
   Working Papers, Banco de España View citations (11)
   See also Journal Article Where is the Value in High Frequency Trading?, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (26) (2012)

2010

2. Derivatives pricing with marked point processes using Tick-by-tick data
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (1)
   See also Journal Article Derivatives pricing with marked point processes using tick-by-tick data, Quantitative Finance, Taylor & Francis Journals (2013) View citations (7) (2013)
3. How much should we pay for interconnecting electricity markets? A real options approach
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
   See also Journal Article How much should we pay for interconnecting electricity markets? A real options approach, Energy Economics, Elsevier (2012) View citations (22) (2012)

2009

4. How Duration Between Trades of Underlying Securities Affects Option Prices
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article How Duration Between Trades of Underlying Securities Affects Option Prices, Review of Finance, European Finance Association (2010) View citations (9) (2010)
5. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
   Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2009) View citations (2)
   See also Journal Article The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets, Econometric Reviews, Taylor & Francis Journals (2016) View citations (2) (2016)
6. Volatility and Covariation of Financial Assets: A High-Frequency Analysis
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
   Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2009)
   See also Journal Article Volatility and covariation of financial assets: A high-frequency analysis, Journal of Banking & Finance, Elsevier (2011) View citations (9) (2011)

2008

7. Modelling Electricity Prices with Forward Looking Capacity Constraints
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (15)
   See also Journal Article Modelling Electricity Prices with Forward Looking Capacity Constraints, Applied Mathematical Finance, Taylor & Francis Journals (2009) View citations (28) (2009)

2007

8. A Multivariate Commodity Analysis and Applications to Risk Management
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (5)
9. How Does Duration Between Trades of Underlying Securities Affect Option Prices
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
10. On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (12)
11. Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
    See also Journal Article Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity, Journal of Banking & Finance, Elsevier (2008) View citations (75) (2008)

2006

12. Fractional Diffusion Models of Option Prices in Markets with Jumps
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (4)
    See also Journal Article Fractional diffusion models of option prices in markets with jumps, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (46) (2007)
13. Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
    See also Journal Article Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance, Quantitative Finance, Taylor & Francis Journals (2009) View citations (3) (2009)
14. Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (50)
    See also Journal Article Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium, Journal of Banking & Finance, Elsevier (2008) View citations (69) (2008)
15. UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (7)
    See also Journal Article UK gas markets: The market price of risk and applications to multiple interruptible supply contracts, Energy Economics, Elsevier (2008) View citations (29) (2008)

2005

16. Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (2)
17. Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality
    Finance, University Library of Munich, Germany View citations (213)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2005) View citations (214)
    See also Journal Article Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality, Applied Mathematical Finance, Taylor & Francis Journals (2005) View citations (210) (2005)

2004

18. Option Pricing with Levy-Stable Processes
    OFRC Working Papers Series, Oxford Financial Research Centre

2002

19. Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (5)

Journal Articles

2016

1. ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS
   International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (06), 1-18 View citations (10)
2. ALGORITHMIC TRADING WITH LEARNING
   International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (04), 1-30 View citations (12)
3. The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
   Econometric Reviews, 2016, 35, (6), 929-950 View citations (2)
   See also Working Paper The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets, Birkbeck Working Papers in Economics and Finance (2009) (2009)

2015

4. Optimal execution with limit and market orders
   Quantitative Finance, 2015, 15, (8), 1279-1291 View citations (39)
5. RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES
   Mathematical Finance, 2015, 25, (3), 576-611 View citations (24)

2013

6. Derivatives pricing with marked point processes using tick-by-tick data
   Quantitative Finance, 2013, 13, (1), 111-123 View citations (7)
   See also Working Paper Derivatives pricing with marked point processes using Tick-by-tick data, DEE - Working Papers. Business Economics. WB (2010) View citations (1) (2010)
7. Modelling Asset Prices for Algorithmic and High-Frequency Trading
   Applied Mathematical Finance, 2013, 20, (6), 512-547 View citations (22)

2012

8. Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis
   Applied Mathematical Finance, 2012, 19, (6), 535-552
9. How much should we pay for interconnecting electricity markets? A real options approach
   Energy Economics, 2012, 34, (1), 14-30 View citations (22)
   See also Working Paper How much should we pay for interconnecting electricity markets? A real options approach, DEE - Working Papers. Business Economics. WB (2010) (2010)
10. Optimal portfolio choice in real terms: Measuring the benefits of TIPS
    Journal of Empirical Finance, 2012, 19, (5), 721-740 View citations (7)
11. Where is the Value in High Frequency Trading?
    Quarterly Journal of Finance (QJF), 2012, 02, (03), 1-46 View citations (26)
    See also Working Paper Where is the value in high frequency trading?, Working Papers (2011) View citations (11) (2011)

2011

12. Volatility and covariation of financial assets: A high-frequency analysis
    Journal of Banking & Finance, 2011, 35, (12), 3319-3334 View citations (9)
    See also Working Paper Volatility and Covariation of Financial Assets: A High-Frequency Analysis, Birkbeck Working Papers in Economics and Finance (2009) (2009)

2010

13. How Duration Between Trades of Underlying Securities Affects Option Prices
    Review of Finance, 2010, 14, (4), 749-785 View citations (9)
    See also Working Paper How Duration Between Trades of Underlying Securities Affects Option Prices, MPRA Paper (2009) (2009)

2009

14. Cross‐commodity analysis and applications to risk management
    Journal of Futures Markets, 2009, 29, (3), 197-217 View citations (8)
15. Modelling Electricity Prices with Forward Looking Capacity Constraints
    Applied Mathematical Finance, 2009, 16, (2), 103-122 View citations (28)
    See also Working Paper Modelling Electricity Prices with Forward Looking Capacity Constraints, Birkbeck Working Papers in Economics and Finance (2008) View citations (15) (2008)
16. Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance
    Quantitative Finance, 2009, 9, (4), 397-409 View citations (3)
    See also Working Paper Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance, Birkbeck Working Papers in Economics and Finance (2006) (2006)

2008

17. Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
    Journal of Banking & Finance, 2008, 32, (10), 2006-2021 View citations (69)
    See also Working Paper Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium, Birkbeck Working Papers in Economics and Finance (2006) View citations (50) (2006)
18. Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity
    Journal of Banking & Finance, 2008, 32, (12), 2502-2519 View citations (75)
    See also Working Paper Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity, Birkbeck Working Papers in Economics and Finance (2007) (2007)
19. UK gas markets: The market price of risk and applications to multiple interruptible supply contracts
    Energy Economics, 2008, 30, (3), 829-846 View citations (29)
    See also Working Paper UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts, Birkbeck Working Papers in Economics and Finance (2006) View citations (7) (2006)

2007

20. Fractional diffusion models of option prices in markets with jumps
    Physica A: Statistical Mechanics and its Applications, 2007, 374, (2), 749-763 View citations (46)
    See also Working Paper Fractional Diffusion Models of Option Prices in Markets with Jumps, Birkbeck Working Papers in Economics and Finance (2006) View citations (4) (2006)

2005

21. Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
    Applied Mathematical Finance, 2005, 12, (4), 313-335 View citations (210)
    See also Working Paper Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality, Finance (2005) View citations (213) (2005)

Chapters

2016

1. Volume Imbalance and Market Making*
   Chapter 3 in RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014, 2016, pp 57-73