{"id":"https://openalex.org/W3125653313","doi":"https://doi.org/10.1137/16m106282x","title":"Algorithmic Trading with Model Uncertainty","display_name":"Algorithmic Trading with Model Uncertainty","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W3125653313","doi":"https://doi.org/10.1137/16m106282x","mag":"3125653313"},"language":"en","primary_location":{"id":"doi:10.1137/16m106282x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m106282x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://kclpure.kcl.ac.uk/ws/files/115222270/Algorithmic_Trading_CARTEA_Accepted_3_Apr_17_GREEN_AAM.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040951539","display_name":"\u00c1lvaro Cartea","orcid":"https://orcid.org/0000-0002-7426-4645"},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"\u00c1lvaro Cartea","raw_affiliation_strings":["Mathematical Institute, University of Oxford, UK","Oxford-Man Institute of Quantitative Finance, Oxford, UK"],"affiliations":[{"raw_affiliation_string":"Mathematical Institute, University of Oxford, UK","institution_ids":["https://openalex.org/I40120149"]},{"raw_affiliation_string":"Oxford-Man Institute of Quantitative Finance, Oxford, UK","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008969342","display_name":"Ryan Donnelly","orcid":"https://orcid.org/0000-0002-8687-431X"},"institutions":[{"id":"https://openalex.org/I5124864","display_name":"\u00c9cole Polytechnique F\u00e9d\u00e9rale de Lausanne","ror":"https://ror.org/02s376052","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I5124864"]},{"id":"https://openalex.org/I54157616","display_name":"Swiss Finance Institute","ror":"https://ror.org/02cgn2a44","country_code":"CH","type":"education","lineage":["https://openalex.org/I54157616"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Ryan Donnelly","raw_affiliation_strings":["Swiss Finance Institute, \u00c9cole Polytechnique F\u00e9d\u00e9rale de Lausanne (EPFL), Switzerland"],"affiliations":[{"raw_affiliation_string":"Swiss Finance Institute, \u00c9cole Polytechnique F\u00e9d\u00e9rale de Lausanne (EPFL), Switzerland","institution_ids":["https://openalex.org/I54157616","https://openalex.org/I5124864"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5016897782","display_name":"Sebastian Jaimungal","orcid":"https://orcid.org/0000-0002-0193-0993"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Sebastian Jaimungal","raw_affiliation_strings":["Department of Statistical Sciences, University of Toronto, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences, University of Toronto, Canada","institution_ids":["https://openalex.org/I185261750"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5040951539"],"corresponding_institution_ids":["https://openalex.org/I40120149"],"apc_list":null,"apc_paid":null,"fwci":16.3649,"has_fulltext":true,"cited_by_count":103,"citation_normalized_percentile":{"value":0.99180298,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":100},"biblio":{"volume":"8","issue":"1","first_page":"635","last_page":"671"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9930999875068665,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/ambiguity","display_name":"Ambiguity","score":0.7408122420310974},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.6136250495910645},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5794840455055237},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.5514730215072632},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4924055337905884},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.48687902092933655},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.48660147190093994},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.46945637464523315},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.46265465021133423},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4447932243347168},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.43485361337661743},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.42546558380126953},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.23530840873718262},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.193783700466156}],"concepts":[{"id":"https://openalex.org/C2780522230","wikidata":"https://www.wikidata.org/wiki/Q1140419","display_name":"Ambiguity","level":2,"score":0.7408122420310974},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.6136250495910645},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5794840455055237},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.5514730215072632},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4924055337905884},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.48687902092933655},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.48660147190093994},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.46945637464523315},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46265465021133423},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4447932243347168},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.43485361337661743},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42546558380126953},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.23530840873718262},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.193783700466156},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/16m106282x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m106282x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:kclpure.kcl.ac.uk:publications/e521825f-1711-42cd-a66f-713d503ffbd6","is_oa":true,"landing_page_url":"https://kclpure.kcl.ac.uk/portal/en/publications/e521825f-1711-42cd-a66f-713d503ffbd6","pdf_url":"https://kclpure.kcl.ac.uk/ws/files/115222270/Algorithmic_Trading_CARTEA_Accepted_3_Apr_17_GREEN_AAM.pdf","source":{"id":"https://openalex.org/S4306400216","display_name":"Research Portal (King's College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I183935753","host_organization_name":"King's College London","host_organization_lineage":["https://openalex.org/I183935753"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Cartea, A, Donnelly, R F & Jaimungal, S 2017, 'Algorithmic Trading with Model Uncertainty', SIAM Journal on Financial Mathematics, vol. 8, no. 1, pp. 635\u2013671. https://doi.org/10.1137/16M106282X","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:ora.ox.ac.uk:uuid:32248d98-3e1a-499a-ae2f-8cddd64beb4c","is_oa":false,"landing_page_url":"https://ora.ox.ac.uk/objects/uuid:32248d98-3e1a-499a-ae2f-8cddd64beb4c","pdf_url":null,"source":{"id":"https://openalex.org/S4306402636","display_name":"Oxford University Research Archive (ORA) (University of Oxford)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I40120149","host_organization_name":"University of Oxford","host_organization_lineage":["https://openalex.org/I40120149"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Symplectic Elements at Oxford","raw_type":"Journal article"}],"best_oa_location":{"id":"pmh:oai:kclpure.kcl.ac.uk:publications/e521825f-1711-42cd-a66f-713d503ffbd6","is_oa":true,"landing_page_url":"https://kclpure.kcl.ac.uk/portal/en/publications/e521825f-1711-42cd-a66f-713d503ffbd6","pdf_url":"https://kclpure.kcl.ac.uk/ws/files/115222270/Algorithmic_Trading_CARTEA_Accepted_3_Apr_17_GREEN_AAM.pdf","source":{"id":"https://openalex.org/S4306400216","display_name":"Research Portal (King's College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I183935753","host_organization_name":"King's College London","host_organization_lineage":["https://openalex.org/I183935753"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Cartea, A, Donnelly, R F & Jaimungal, S 2017, 'Algorithmic Trading with Model Uncertainty', SIAM Journal on Financial Mathematics, vol. 8, no. 1, pp. 635\u2013671. https://doi.org/10.1137/16M106282X","raw_type":"info:eu-repo/semantics/publishedVersion"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.5299999713897705,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3125653313.pdf","grobid_xml":"https://content.openalex.org/works/W3125653313.grobid-xml"},"referenced_works_count":15,"referenced_works":["https://openalex.org/W1832762784","https://openalex.org/W1915524904","https://openalex.org/W1976592774","https://openalex.org/W2040582618","https://openalex.org/W2115451042","https://openalex.org/W2131387435","https://openalex.org/W2139295077","https://openalex.org/W2142477416","https://openalex.org/W2162288466","https://openalex.org/W2177670937","https://openalex.org/W3122964770","https://openalex.org/W3123395326","https://openalex.org/W3123632143","https://openalex.org/W3123868759","https://openalex.org/W3125047413"],"related_works":["https://openalex.org/W1844669668","https://openalex.org/W3122593455","https://openalex.org/W3095472613","https://openalex.org/W4286702726","https://openalex.org/W3016228233","https://openalex.org/W3122425648","https://openalex.org/W3126577088","https://openalex.org/W3206298825","https://openalex.org/W3211900762","https://openalex.org/W2018042870"],"abstract_inverted_index":{"Algorithmic":[0],"traders":[1],"acknowledge":[2],"that":[3,59,111],"their":[4,15,19,64],"models":[5,20],"are":[6],"incorrectly":[7],"specified,":[8],"thus":[9],"we":[10,57],"allow":[11],"for":[12,105],"ambiguity":[13,130],"in":[14,24,145],"choices":[16],"to":[17,22,66,87,135],"make":[18],"robust":[21,75,107],"misspecification":[23],"(i)":[25],"the":[26,33,41,44,47,52,79,85,90,93,96,106,112,129],"arrival":[27],"rate":[28],"of":[29,36,43,46,54,99,124,128,138],"market":[30,55,60,76],"orders,":[31,38],"(ii)":[32],"fill":[34],"probability":[35],"limit":[37],"and":[39,70,83,95,120,143],"(iii)":[40],"dynamics":[42],"midprice":[45],"asset":[48],"they":[49],"deal.":[50],"In":[51],"context":[53],"making,":[56],"demonstrate":[58],"makers":[61],"(MMs)":[62],"adjust":[63],"quotes":[65],"reduce":[67],"inventory":[68],"risk":[69,140],"adverse":[71],"selection":[72],"costs.":[73],"Moreover,":[74],"making":[77],"increases":[78],"strategies'":[80],"Sharpe":[81],"ratio":[82],"allows":[84],"MM":[86,132,142],"fine":[88],"tune":[89],"trade-off":[91],"between":[92],"mean":[94],"standard":[97],"deviation":[98],"profits.":[100],"We":[101],"provide":[102,121],"analytical":[103],"solutions":[104],"optimal":[108],"strategies,":[109],"show":[110],"resulting":[113],"dynamic":[114],"programming":[115],"equations":[116],"have":[117],"classical":[118],"solutions,":[119],"a":[122,139,146],"proof":[123],"verification.":[125],"The":[126],"behavior":[127],"averse":[131,141],"is":[133],"found":[134],"generalize":[136],"those":[137],"coincide":[144],"limiting":[147],"case.":[148]},"counts_by_year":[{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":10},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":15},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":17},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":14},{"year":2017,"cited_by_count":9},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":8},{"year":2013,"cited_by_count":1}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}