George Papanicolaou

Stanford University - Department of Mathematics

Building 380

Stanford, CA 94305

United States

  • Stanford University - Department of Mathematics

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    • Tel: 650-723-2081
    • Fax: 650-725-4066
SCHOLARLY PAPERS

3

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14

Scholarly Papers (3)

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1.

Risk Control of Mean-Reversion Time in Statistical Arbitrage

Risk and Decision Analysis, vol. 6, no. 4, pp. 263-290, 2017
Number of pages: 52 Posted: 14 Nov 2016 Last Revised: 03 Feb 2018
Joongyeub Yeo and George Papanicolaou
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Department of Mathematics
Downloads 996 (26,721)

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mean-reversion time, statistical arbitrage, portfolio selection, market neutrality, principal components, factor models, residuals

2.

Principal Eigenportfolios for U.S. Equities

Number of pages: 39 Posted: 11 Dec 2020
Marco Avellaneda, Brian Healy, Andrew Papanicolaou, George Papanicolaou and Tony Xu
New York University (NYU) - Courant Institute of Mathematical Sciences, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, North Carolina State University - Department of Mathematics, Stanford University - Department of Mathematics and affiliation not provided to SSRN
Downloads 147 (236,876)

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Eigenportfolios, Principal Component Analysis, Tensor Decomposition

3.

Stochastic Volatility Corrections for Interest Rate Derivatives

Number of pages: 28 Posted: 06 May 2004
Peter Cotton, Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar
Morgan Stanley & Co. Inc., North Carolina State University - Department of Mathematics, Stanford University - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 17 (630,782)
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Stochastic volatility, interest rate models, asymptotic expressions