Juan A. Serur

NYU - Courant Institute of Mathematical Sciences

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  • NYU - Courant Institute of Mathematical Sciences

SCHOLARLY PAPERS

10

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79,965

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“  M.S. in Mathematics in Finance at NYU's Courant Institute of Mathematical Sciences. Quant Strategist at Bank of America Merrill Lynch, New York.  ”

  • NYU - Courant Institute of Mathematical Sciences

Scholarly Papers (10)

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1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 74,760 (21)

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bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

2.

151 Estrategias de Trading (151 Trading Strategies)

Z. Kakushadze y J.A. Serur. 151 Estrategias de Trading (Spanish Edition, 2019), 398 pp; ISBN 978-1071261873
Number of pages: 398 Posted: 19 Jun 2019 Last Revised: 24 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 1,887 (13,512)

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bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

3.

Risk On-Risk Off: A Regime Switching Model for Active Portfolio Management

Serie Documentos de Trabajo - Nro. 706, 2019
Number of pages: 13 Posted: 16 Jan 2020
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 777 (49,096)

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regime switching, active investment, two fund separation, excess returns, hidden markov model, VIX

4.

Measuring and Trading Volatility on the US Stock Market: A Regime Switching Approach

Serie Documentos de Trabajo - Documento Nro. 659
Number of pages: 27 Posted: 23 Oct 2018 Last Revised: 22 Sep 2022
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 687 (57,802)
Citation 1

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Realized Volatility, Expected Volatility, Volatility Premium, Regime Switching, Excess Returns, Hidden Markov Model, VIX

5.

Reddit Sentiment Analysis

Number of pages: 19 Posted: 12 Aug 2021
Sebastian Lindskog and Juan A. Serur
New York University (NYU) - Courant Institute of Mathematical Sciences and NYU - Courant Institute of Mathematical Sciences
Downloads 579 (72,192)

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6.

Hierarchical PCA and Modeling Asset Correlations

Number of pages: 39 Posted: 02 Sep 2021
Juan A. Serur and Marco Avellaneda
NYU - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 491 (88,539)

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correlations, factor models, hierarchical PCA, statistical clusters

7.

Testing Momentum Effect for the US Market: From Equity to Option Strategies

Serie Documentos de Trabajo, Nro. 621
Number of pages: 45 Posted: 13 Oct 2017
Julián Ricardo Siri, Juan A. Serur and José P Dapena
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 282 (164,073)

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Momentum, four-factor model, asset pricing, option pricing, implied volatility, index options.

8.

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks

Serie Documentos de Trabajo, Nro. 703, 2019
Number of pages: 16 Posted: 23 Dec 2019
José P Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 204 (224,671)

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Asset Pricing, Options-pricing, Insurance, Capital Markets

9.

Decomposing the VIX Index into Greed and Fear

Serie Documentos de Trabajo - Nro. 780 (2021)
Number of pages: 14 Posted: 07 Apr 2021
Juan A. Serur, José P Dapena and Julián Ricardo Siri
NYU - Courant Institute of Mathematical Sciences, University of CEMA and University of CEMA
Downloads 186 (244,035)

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VIX, Volatility, Greed-Fear index, Variance Swap

10.

Unraveling the Value Premium: A Reward for Risk or Mispricing?

Serie Documentos de Trabajo, Nro. 704, 2019
Number of pages: 29 Posted: 23 Dec 2019
Claudio E. Serur, Julián Ricardo Siri, Juan A. Serur and José P Dapena
affiliation not provided to SSRN, University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 112 (364,957)

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Factor Investing, Factor Models, Quality Factor, Excess Returns, Value Investing