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Avellaneda, Marco's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
14,182 |
Total
Citations
76 |
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1.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Lee, Jeong-Hyun
New York University (NYU) - Courant Institute of Mathematical Sciences
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30 Jun 08
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Last Revised:
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05 Aug 08
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3,653
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5
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2.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Friedman, Craig A.
Standard & Poor's - Quantitative Analytics Holmes, Richard
New York University (NYU) - Courant Institute of Mathematical Sciences Samperi, Dominick J.
Decision Synergy
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2,492
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27
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3.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Zhu, Yingzi
Tsinghua University - School of Economics & Management
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2,452
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9
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4.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Zhang, Stanley Jian
New York University (NYU)
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17 May 09
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Last Revised:
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15 Sep 09
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1,600
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12
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ETFs, Leveraged ETFs, Realized variance
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5.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Reed, Josh
New York University (NYU) - Department of Information, Operations, and Management Sciences Stoikov, Sasha
Cornell Financial Engineering Manhattan
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14 Oct 10
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Last Revised:
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11 Oct 12
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1,402
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3
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High frequency data, order book modeling, financial engineering, diffusion limit, hidden liquidity, market microstructure
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6.
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Scherer, Kevin Paul
New York University (NYU) - Courant Institute of Mathematical Sciences Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
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568
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7.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Boyer-Olson, Dash
Gargoyle Strategic Investments L.L.C.
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556
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3
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8.
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A Market-Induced Mechanism for Stock Pinning
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Lipkin, Mike
Columbia University
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Posted:
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22 Nov 03
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Last Revised:
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11 Mar 04
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523
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Lipkin, Mike
Columbia University
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0
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Stock clustering, options, open interest, volume, pinning
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Lipkin, Mike
Columbia University
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523
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6
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Stock clustering, options, open interest, volume, pinning
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9.
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Lipkin, Mike
Columbia University Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
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495
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3
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stock-loan, hard-to-borrow stocks
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10.
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Genaro, Alan De
Securities, Commodities and Futures Exchange - BM & FBOVESPA Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
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118
(120,859)
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Interest rate derivatives, Scheduled events, Monetary Policy
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11.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Dobi, Doris
Courant Institute of Mathematical Sciences
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10 Aug 12
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Last Revised:
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18 Sep 12
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117
(121,709)
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Leveraged ETFs, slippage, short-selling costs
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12.
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Akansu, Ali
NJIT Torun, Mustafa
New Jersey Institute of Technology Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
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114
(124,226)
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2
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13.
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Genaro, Alan De
Securities, Commodities and Futures Exchange - BM & FBOVESPA Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
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84
(153,227)
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Hard-to-borrow, Short-selling
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14.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Cont, Rama
Imperial College London
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11 Apr 13
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Last Revised:
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28 May 13
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8
(319,622)
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Risk-management, Liquidity, Central Counterparties, Central Clearing
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15.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Buff, Robert
affiliation not provided to SSRN Friedman, Craig A.
Standard & Poor's - Quantitative Analytics Grandechamp, Nicolas
affiliation not provided to SSRN Kruk, Lukasz
affiliation not provided to SSRN Newman, Joshua
affiliation not provided to SSRN
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16.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Paras, Antonio
New York University (NYU) - Courant Institute of Mathematical Sciences
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17.
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Levy, Arnon
affiliation not provided to SSRN Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Paras, Antonio
New York University (NYU) - Courant Institute of Mathematical Sciences
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18.
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Lewicki, Pawel
J.P. Morgan Chase Securities Inc. Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
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19.
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Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences Paras, Antonio
New York University (NYU) - Courant Institute of Mathematical Sciences
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