13 citations · 16 across the 8 of their papers we have counts for
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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…