2 citations · 3 across the 5 of their papers we have counts for
7 papers · 1 filter
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: 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…
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…
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…
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…
Trading Cointegrated Assets with Price Impact
Alvaro Cartea, Luhui Gan, Sebastian Jaimungal
Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within…