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Assessing the performance of different volatility estimators : a Monte Carlo analysis
Cartea, Álvaro; Karyampas, Dimitrios - In: Applied mathematical finance 19 (2012) 5/6, pp. 535-552
Persistent link: https://www.econbiz.de/10009710928
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Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis
Cartea, lvaro; Karyampas, Dimitrios - In: Applied mathematical finance 19 (2012) 6, pp. 535-553
Persistent link: https://www.econbiz.de/10010025388
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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
Cartea, Álvaro; Figueroa, Marcelo - In: Applied mathematical finance 12 (2005) 4, pp. 313-336
Persistent link: https://www.econbiz.de/10008223040
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Modelling asset prices for algorithmic and high-frequency trading
Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547
Persistent link: https://www.econbiz.de/10010235563
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Modelling electricity prices with forward looking capacity constraints
Cartea, Álvaro; Figueroa, Marcelo G.; Geman, Hélyette - In: Applied mathematical finance 16 (2009) 1/2, pp. 103-122
Persistent link: https://www.econbiz.de/10003847150
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Pricing in electricity markets : a mean reverting jump diffusion model with seasonality
Cartea, Álvaro; Figueroa, Marcelo G. - In: Applied mathematical finance 12 (2005) 4, pp. 313-335
Persistent link: https://www.econbiz.de/10003229232
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Enhancing trading strategies with order book signals
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
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Spoofing and price manipulation in order-driven markets
Cartea, Álvaro; Jaimungal, Sebastian; Wang, Yixuan - In: Applied mathematical finance 27 (2020) 1/2, pp. 67-98
Persistent link: https://www.econbiz.de/10012254104
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Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - In: Applied mathematical finance 30 (2023) 2, pp. 69-93
Persistent link: https://www.econbiz.de/10014443350