Álvaro Cartea

29 papers A* 1Journal 25Unranked 3
YearRankTypeTitle / Venue / Authors
2026 J jnl
Activation-Space Uncertainty Quantification for Pretrained Networks.
CoRR
Richard Bergna, Stefan Depeweg, Sergio Calvo-Ordoñez, Jonathan Plenk, Álvaro Cartea, José Miguel Hernández-Lobato
2026 J jnl
Algorithmic collusion and a folk theorem from learning with bounded rationality.
Games Econ. Behav.
Álvaro Cartea, Patrick Chang, José Penalva, Harrison Waldon
2026 J jnl
Richer Bayesian Last Layers with Subsampled NTK Features.
CoRR
Sergio Calvo-Ordoñez, Jonathan Plenk, Richard Bergna, Álvaro Cartea, Yarin Gal, José Miguel Hernández-Lobato, Kamil Ciosek
2025 J jnl
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals.
SIAM J. Financial Math.
Álvaro Cartea, Leandro Sánchez-Betancourt
2025 — conf
Data-Driven Trade Flow Decomposition for Exchange-Traded Funds and their Constituents.
ICAIF
Nicolas Petit, Mihai Cucuringu, Álvaro Cartea
2025 J jnl
Observation Noise and Initialization in Wide Neural Networks.
CoRR
Sergio Calvo-Ordoñez, Jonathan Plenk, Richard Bergna, Álvaro Cartea, José Miguel Hernández-Lobato, Konstantina Palla, Kamil Ciosek
2025 J jnl
Post-Hoc Uncertainty Quantification in Pre-Trained Neural Networks via Activation-Level Gaussian Processes.
CoRR
Richard Bergna, Stefan Depeweg, Sergio Calvo-Ordoñez, Jonathan Plenk, Álvaro Cartea, José Miguel Hernández-Lobato
2025 J jnl
Scalable Generalized Bayesian Online Neural Network Training for Sequential Decision Making.
CoRR
Gerardo Duran-Martin, Leandro Sánchez-Betancourt, Álvaro Cartea, Kevin Murphy
2025 J jnl
Weighted Conditional Flow Matching.
CoRR
Sergio Calvo-Ordoñez, Matthieu Meunier, Álvaro Cartea, Christoph Reisinger, Yarin Gal, José Miguel Hernández-Lobato
2024 J jnl
Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision.
SIAM J. Financial Math.
Álvaro Cartea, Fayçal Drissi, Marcello Monga
2024 J jnl
Rough Transformers for Continuous and Efficient Time-Series Modelling.
CoRR
Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea
2024 J jnl
Rough Transformers: Lightweight Continuous-Time Sequence Modelling with Path Signatures.
CoRR
Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea
2024 A* conf
Rough Transformers: Lightweight and Continuous Time Series Modelling through Signature Patching.
NeurIPS
Fernando Moreno-Pino, Alvaro Arroyo, Harrison Waldon, Xiaowen Dong, Álvaro Cartea
2023 J jnl
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning.
SIAM J. Financial Math.
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
2023 — conf
Correlation Matrix Clustering for Statistical Arbitrage Portfolios.
ICAIF
Qi Jin, Mihai Cucuringu, Álvaro Cartea
2023 J jnl
Detecting Toxic Flow.
CoRR
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
2023 — conf
Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers.
ICDCS Workshops
Álvaro Cartea, Fayçal Drissi, Marcello Monga
2022 J jnl
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning.
CoRR
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
2022 J jnl
Double-Execution Strategies Using Path Signatures.
SIAM J. Financial Math.
Álvaro Cartea, Imanol Pérez Arribas, Leandro Sánchez-Betancourt
2022 J jnl
Optimal Cross-Border Electricity Trading.
SIAM J. Financial Math.
Álvaro Cartea, Maria Flora, Tiziano Vargiolu, Georgi Slavov
2021 J jnl
Adaptive Robust Control in Continuous Time.
SIAM J. Control. Optim.
Theerawat Bhudisaksang, Álvaro Cartea
2021 J jnl
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets.
SIAM J. Financial Math.
Álvaro Cartea, Leandro Sánchez-Betancourt
2020 J jnl
Trading Foreign Exchange Triplets.
SIAM J. Financial Math.
Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia
2019 J jnl
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders.
SIAM J. Financial Math.
Álvaro Cartea, Luhui Gan, Sebastian Jaimungal
2018 J jnl
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes.
SIAM Rev.
Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
2017 J jnl
Algorithmic Trading with Model Uncertainty.
SIAM J. Financial Math.
Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
2016 J jnl
A Closed-Form Execution Strategy to Target Volume Weighted Average Price.
SIAM J. Financial Math.
Álvaro Cartea, Sebastian Jaimungal
2016 J jnl
Model Uncertainty in Commodity Markets.
SIAM J. Financial Math.
Álvaro Cartea, Sebastian Jaimungal, Zhen Qin
2014 J jnl
Buy Low, Sell High: A High Frequency Trading Perspective.
SIAM J. Financial Math.
Álvaro Cartea, Sebastian Jaimungal, Jason Ricci