Author Page for Marco Avellaneda

Statistical Arbitrage in the U.S. Equities Market

Number of pages: 47 Posted: 30 Jun 2008 Last Revised: 05 Aug 2008

Marco Avellaneda and Jeong-Hyun Lee

New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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Citation 41

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2.

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Algorithmic Finance, Vol. 1, No. 1, 2011

Number of pages: 10 Posted: 14 Oct 2010 Last Revised: 11 Oct 2012

Marco Avellaneda, Josh Reed and Sasha Stoikov

New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan

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Citation 2

Abstract:

3.

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Number of pages: 38 Posted: 01 Feb 1997

Marco Avellaneda, Craig A. Friedman, Richard Holmes and Dominick J. Samperi

New York University (NYU) - Courant Institute of Mathematical Sciences, State++, New York University (NYU) - Courant Institute of Mathematical Sciences and Decision Synergy

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Citation 12

Abstract:

4.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997

Marco Avellaneda and Yingzi Zhu

New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management

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Citation 2

Abstract:

5.

Path-Dependence of Leveraged ETF Returns

Number of pages: 25 Posted: 17 May 2009 Last Revised: 15 Sep 2009

Marco Avellaneda and Stanley Jian Zhang

New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU)

Downloads 2,610 (9,188)

Citation 35

Abstract:

6.

Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products

The Journal of Investment Strategies, Vol. 7, No. 2, pp. 1-33 (2018)

Number of pages: 39 Posted: 31 Aug 2017 Last Revised: 14 Nov 2018

Marco Avellaneda and Andrew Papanicolaou

New York University (NYU) - Courant Institute of Mathematical Sciences and North Carolina State University - Department of Mathematics

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Citation 2

Abstract:

7.

A Market-Induced Mechanism for Stock Pinning

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A Market-Induced Mechanism for Stock Pinning

New York University Courant Institute Working Paper

Number of pages: 20 Posted: 22 Nov 2003

Marco Avellaneda and Mike Lipkin

New York University (NYU) - Courant Institute of Mathematical Sciences and Columbia University

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Citation 2

Abstract:

A Market-Induced Mechanism for Stock Pinning

Quantitative Finance, Vol. 3, December 2003

Posted: 06 Jan 2004

Marco Avellaneda and Mike Lipkin

New York University (NYU) - Courant Institute of Mathematical Sciences and Columbia University

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8.

Principal Eigenportfolios for U.S. Equities

Number of pages: 52 Posted: 11 Dec 2020 Last Revised: 21 Jul 2022

Marco Avellaneda, Brian Healy, Andrew Papanicolaou and George Papanicolaou

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 and Stanford University - Department of Mathematics

Downloads 1,054 (36,901)

Citation 3

Abstract:

9.

A Dynamic Model for Hard-to-Borrow Stocks

Number of pages: 24 Posted: 12 Mar 2009

Mike Lipkin and Marco Avellaneda

Columbia University and New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 946 (42,985)

Citation 6

Abstract:

10.

Reconstruction of Volatility: Pricing Index Options by the Steepest Descent Approximation

Courant Institute-NYU Working Paper

Number of pages: 18 Posted: 21 Nov 2002

Marco Avellaneda and Dash Boyer-Olson

New York University (NYU) - Courant Institute of Mathematical Sciences and Gargoyle Strategic Investments L.L.C.

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Citation 9

Abstract:

11.

All for One... One for All? A Principal Component Analysis of the Latin American Brady Bond Debt from 1994 to 2000

EFMA 2001 Lugano; NYU Courant Inst of Mathmatical Sciences Working Paper

Number of pages: 37 Posted: 02 Oct 2000

Kevin Paul Scherer and Marco Avellaneda

New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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Citation 4

Abstract:

12.

Hierarchical PCA and Modeling Asset Correlations

Number of pages: 39 Posted: 02 Sep 2021 Last Revised: 03 May 2023

Juan A. Serur and Marco Avellaneda

NYU - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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Citation 1

Abstract:

13.

Close-Out Risk Evaluation (CORE): A New Risk Management Approach for Central Counterparties

Number of pages: 46 Posted: 11 Apr 2013 Last Revised: 28 May 2013

Marco Avellaneda and Rama Cont

New York University (NYU) - Courant Institute of Mathematical Sciences and University of Oxford

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Citation 8

Abstract:

14.

Structural Slippage of Leveraged ETFs

Number of pages: 17 Posted: 10 Aug 2012 Last Revised: 18 Sep 2012

Marco Avellaneda and Doris Dobi

New York University (NYU) - Courant Institute of Mathematical Sciences and Courant Institute of Mathematical Sciences

Downloads 625 (74,563)

Citation 6

Abstract:

15.

Pricing Interest Rate Derivatives Under Monetary Policy Changes

Number of pages: 26 Posted: 15 Apr 2012 Last Revised: 28 Jul 2013

Alan Genaro and Marco Avellaneda

Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 361 (143,481)

Citation 1

Abstract:

16.

Hierarchical PCA and Applications to Portfolio Management

Number of pages: 29 Posted: 21 Oct 2019

Marco Avellaneda

New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 333 (156,467)

Citation 4

Abstract:

17.

Portfolio Risk in Multiple Frequencies

IEEE Signal Processing Magazine, 2011

Number of pages: 12 Posted: 17 Jan 2012

Ali Akansu, Mustafa Torun and Marco Avellaneda

New Jersey Institute of Technology, New Jersey Institute of Technology and New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 277 (189,770)

Citation 3

Abstract:

18.

Does the Lending Rate Impact ETF's Prices?

Number of pages: 19 Posted: 23 Apr 2012

Alan Genaro and Marco Avellaneda

Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 177 (289,401)

Abstract:

19.

Quant Investing in Cluster Portfolios

Downloads 3 (1,034,557)

2

Quant Investing in Cluster Portfolios

Journal of Investment Strategies, Vol. 9, No. 4

Number of pages: 18 Posted: 12 May 2021

Ali Akansu, Marco Avellaneda and Anqi Xiong

New Jersey Institute of Technology, New York University (NYU) - Courant Institute of Mathematical Sciences and New Jersey Institute of Technology

Downloads 3 (1,076,331)

Add to Cart

Abstract:

Quant Investing in Cluster Portfolios

Journal of Investment Strategies (Risk.net) https://www.risk.net/journal-of-investment-strategies, 2020

Posted: 23 Feb 2021

Ali Akansu, Marco Avellaneda and Anqi Xiong

New Jersey Institute of Technology, New York University (NYU) - Courant Institute of Mathematical Sciences and New Jersey Institute of Technology

Abstract:

20.

Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models

International Journal of Theoretical and Applied Finance, Vol. 4, No. 1, 2001

Posted: 12 Feb 2011

Marco Avellaneda, Robert Buff, Craig A. Friedman, Nicolas Grandechamp, Lukasz Kruk and Joshua Newman

New York University (NYU) - Courant Institute of Mathematical Sciences, affiliation not provided to SSRN, State++, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

21.

Optimal Hedging Portfolios for Derivative Securities in the Presence of Large Transaction Costs

Posted: 10 Sep 1999

Marco Avellaneda and Antonio Paras

New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

22.

A New Approach for Pricing Derivative Securities in Markets with Uncertain Volatilities: A 'Case Study' on the Trinomial Tree

Posted: 26 Dec 1998

Arnon Levy, Marco Avellaneda and Antonio Paras

affiliation not provided to SSRN, New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

23.

Pricing Interest Rate Contingent Claims in Markets with Uncertain Volatility

Posted: 03 Nov 1998

Pawel Lewicki and Marco Avellaneda

J.P. Morgan Chase Securities Inc. and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

24.

Managing the Volatility Risk of Portfolios of Derivative Securities: The Lagrangian Uncertain Volatility Model

Posted: 22 Aug 1998

Marco Avellaneda and Antonio Paras

New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Marco Avellaneda

New York University (NYU) - Courant Institute of Mathematical Sciences

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Scholarly Papers (24)

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Quant Investing in Cluster Portfolios

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