13 citations · 16 across the 8 of their papers we have counts for
12 papers
Nash Equilibrium between Brokers and Traders
Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchang…
Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Álvaro Cartea, Fayçal Drissi, Marcello Monga
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics o…
Decentralised Finance and Automated Market Making: Execution and Speculation
Álvaro Cartea, Fayçal Drissi, Marcello Monga
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs…
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Alvaro Arroyo, Alvaro Cartea, Fernando Moreno-Pino +1
One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order…
Optimal execution and speculation with trade signals
Peter Bank, Álvaro Cartea, Laura Körber
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of lim…
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
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 not…