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 22

Abstract:

2.

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

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Citation 9

Abstract:

3.

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:

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 1

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)

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Citation 30

Abstract:

6.

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 794 (35,804)

Citation 6

Abstract:

7.

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:

8.

A Market-Induced Mechanism for Stock Pinning

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2

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 1

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

Abstract:

9.

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 8

Abstract:

10.

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 3

Abstract:

11.

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 7

Abstract:

12.

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 403 (85,008)

Citation 6

Abstract:

13.

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 286 (124,496)

Citation 1

Abstract:

14.

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 213 (166,767)

Citation 2

Abstract:

15.

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 148 (230,808)

Abstract:

16.

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 142 (237,355)

Abstract:

17.

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 106 (296,943)

Abstract:

18.

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:

19.

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, TIAA-CREF, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

20.

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:

21.

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:

22.

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:

23.

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 (23)

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