3 papers
q-fin.TR2020
Trading Foreign Exchange Triplets
Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker consid…
q-fin.TR2019
Latency and Liquidity Risk
Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit…
q-fin.MF2019
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Alvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
A risk-averse agent hedges her exposure to a non-tradable risk factor using a correlated traded asset and accounts for the impact of her trades on both factors. The effect…