Zobrazeno 1 - 10
of 78
pro vyhledávání: '"Álvaro Cartea"'
Publikováno v:
SIAM Journal on Financial Mathematics. 13:1379-1417
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::295294813ddb46b201a68f6e7d41a6eb
https://doi.org/10.1137/21m1456467
https://doi.org/10.1137/21m1456467
Publikováno v:
SIAM Journal on Financial Mathematics. 13:262-294
We show there exists a profitable cross-border trading strategy for an agent who trades electricity in the European electricity network. Data of the European markets are employed to show how electricity prices in all locations of the network are affe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::127e199c570f24d736059e6c75e17f00
https://doi.org/10.1137/21m1398537
https://doi.org/10.1137/21m1398537
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::44116667f553f806394ec81a060eb673
https://doi.org/10.2139/ssrn.4459177
https://doi.org/10.2139/ssrn.4459177
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::49075627192972e0b0eae7e77480d9b9
https://doi.org/10.2139/ssrn.4388104
https://doi.org/10.2139/ssrn.4388104
Autor:
Álvaro Cartea, Samuel N. Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt, Leon van Veldhuijzen
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8df6ac657e8c4bb814e09e51bb9daa2
https://doi.org/10.2139/ssrn.4442770
https://doi.org/10.2139/ssrn.4442770
Latency is the time delay between an exchange streaming market data to a trader, the trader processing information and deciding to trade, and the exchange receiving the order from the trader. Liquidity takers face a moving target problem as a consequ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d483f0db8afa8417c3a7ab0636ee5bf
https://doi.org/10.1137/19m1258888
https://doi.org/10.1137/19m1258888
We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs are liquidity taking orders that specify a price limit and are for immediate execution only; however,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::694e5098371f2610ab99b370aa71dd86
https://doi.org/10.1007/s00780-022-00491-w
https://doi.org/10.1007/s00780-022-00491-w
We propose a novel framework to solve risk-sensitive reinforcement learning (RL) problems where the agent optimises time-consistent dynamic spectral risk measures. Based on the notion of conditional elicitability, our methodology constructs (strictly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9d4e918887a65658aa6f6c6b73ed067
http://arxiv.org/abs/2206.14666
http://arxiv.org/abs/2206.14666
Autor:
Álvaro Cartea, Theerawat Bhudisaksang
Publikováno v:
SIAM Journal on Control and Optimization. 59:3912-3945
We propose a continuous-time version of the adaptive robust methodology introduced in Bielecki et al. (2019). An agent solves a stochastic control problem where the underlying uncertainty follows a jump-diffusion process and the agent does not know t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d8f40f684bf104a5395e8ec08369eb50
https://doi.org/10.1137/20m1336680
https://doi.org/10.1137/20m1336680
Publikováno v:
Applied Mathematical Finance. 27:67-98
We model the trading strategy of an investor who spoofs the limit order book (LOB) to increase the revenue obtained from selling a position in a security. The strategy employs, in addition to sell limit orders (LOs) and sell market orders (MOs), a la
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d3d9b1fe224c7b5dcbb9f13b779d1ffd
https://doi.org/10.1080/1350486x.2020.1726783
https://doi.org/10.1080/1350486x.2020.1726783