Marco Avellaneda

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

Professor

251 Mercer Street

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

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SCHOLARLY PAPERS

20

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22,632

CITATIONS
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Top 5,263

in Total Papers Citations

105

Scholarly Papers (20)

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1.

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
Downloads 7,698 (691)
Citation 28

Abstract:

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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
Downloads 2,914 (3,766)
Citation 47

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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
Downloads 2,637 (4,445)
Citation 3

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High frequency data, order book modeling, financial engineering, diffusion limit, hidden liquidity, market microstructure

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
Downloads 2,601 (4,556)
Citation 14

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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 2,130 (6,338)
Citation 44

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ETFs, Leveraged ETFs, Realized variance

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 750 (32,074)
Citation 5

Abstract:

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stock-loan, hard-to-borrow stocks

7.

A Market-Induced Mechanism for Stock Pinning

Downloads 667 ( 37,591)

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
Downloads 667 (37,098)

Abstract:

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Stock clustering, options, open interest, volume, pinning

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:

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Stock clustering, options, open interest, volume, pinning

8.

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.
Downloads 667 (37,591)
Citation 4

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9.

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
Downloads 646 (39,176)
Citation 6

Abstract:

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10.

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 NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 559 (47,469)
Citation 4

Abstract:

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VIX futures, contango, roll yield

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
Downloads 430 (65,829)
Citation 8

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Risk-management, Liquidity, Central Counterparties, Central Clearing

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 334 (88,439)
Citation 3

Abstract:

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Leveraged ETFs, slippage, short-selling costs

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 261 (115,431)

Abstract:

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Interest rate derivatives, Scheduled events, Monetary Policy

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 201 (149,181)
Citation 2

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15.

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 137 (207,740)

Abstract:

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Hard-to-borrow, Short-selling

16.

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:

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17.

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

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18.

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:

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19.

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

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20.

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

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