Pricing in electricity markets: a mean reverting jump diffusion model with seasonality A Cartea, MG Figueroa Applied Mathematical Finance 12 (4), 313-335, 2005 | 686 | 2005 |
Algorithmic and high-frequency trading Á Cartea, S Jaimungal, J Penalva Cambridge University Press, 2015 | 480 | 2015 |
Fractional diffusion models of option prices in markets with jumps Á Cartea, D del-Castillo-Negrete Physica A: Statistical Mechanics and its Applications 374 (2), 749-763, 2007 | 347 | 2007 |
Fluid limit of the continuous-time random walk with general Lévy jump distribution functions Á Cartea, D del-Castillo-Negrete Physical Review E—Statistical, Nonlinear, and Soft Matter Physics 76 (4 …, 2007 | 261 | 2007 |
Buy low, sell high: A high frequency trading perspective Á Cartea, S Jaimungal, J Ricci SIAM Journal on Financial Mathematics 5 (1), 415-444, 2014 | 240 | 2014 |
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium FE Benth, Á Cartea, R Kiesel Journal of banking & finance 32 (10), 2006-2021, 2008 | 228 | 2008 |
Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity Á Cartea, P Villaplana Journal of Banking & Finance 32 (12), 2502-2519, 2008 | 208 | 2008 |
Where is the value in high frequency trading? Á Cartea, J Penalva Quarterly Journal of Finance 13 (1), 1-46, 2012 | 181 | 2012 |
Incorporating order-flow into optimal execution Á Cartea, S Jaimungal Mathematics and Financial Economics 10, 339-364, 2016 | 163 | 2016 |
Algorithmic trading with model uncertainty Á Cartea, R Donnelly, S Jaimungal SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017 | 130* | 2017 |
Optimal execution with limit and market orders Á Cartea, S Jaimungal Quantitative Finance 15 (8), 1279-1291, 2015 | 127 | 2015 |
Risk metrics and fine tuning of high‐frequency trading strategies Á Cartea, S Jaimungal Mathematical Finance 25 (3), 576-611, 2015 | 124 | 2015 |
Enhancing trading strategies with order book signals A Cartea, R Donnelly, S Jaimungal Applied Mathematical Finance 25 (1), 1-35, 2018 | 123 | 2018 |
Modeling asset prices for algorithmic and high frequency trading Á Cartea, S Jaimungal Applied Mathematical Finance, 2010 | 117 | 2010 |
UK gas markets: The market price of risk and applications to multiple interruptible supply contracts A Cartea, T Williams Energy Economics 30 (3), 829-846, 2008 | 114 | 2008 |
A closed-form execution strategy to target volume weighted average price Á Cartea, S Jaimungal SIAM Journal on Financial Mathematics 7 (1), 760-785, 2016 | 78* | 2016 |
Modelling electricity prices with forward looking capacity constraints Á Cartea, MG Figueroa, H Geman Applied Mathematical Finance 16 (2), 103-122, 2009 | 67 | 2009 |
How much should we pay for interconnecting electricity markets? A real options approach Á Cartea, C González-Pedraz Energy Economics 34 (1), 14–30, 2011 | 55 | 2011 |
Derivatives pricing with marked point processes using tick-by-tick data Á Cartea Quantitative Finance 13 (1), 111-123, 2013 | 49 | 2013 |
Algorithmic trading with learning. SSRN eLibrary A Cartea, S Jaimungal, K D | 47* | 2013 |