Marco Avellaneda

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

Professor

251 Mercer Street

New York, NY 10012

United States

Finance Concepts LLC

Partner

590 Madison Avenue

21st Floor

New York, NY 10022

United States

http://www.finance-concepts.com

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 1,445

SSRN RANKINGS

Top 1,445

in Total Papers Downloads

26,060

SSRN CITATIONS
Rank 12,554

SSRN RANKINGS

Top 12,554

in Total Papers Citations

48

CROSSREF CITATIONS

48

Scholarly Papers (24)

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 8,875 (792)
Citation 31

Abstract:

Loading...

2.

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Number of pages: 38 Posted: 01 Feb 1997
New York University (NYU) - Courant Institute of Mathematical Sciences, State++, New York University (NYU) - Courant Institute of Mathematical Sciences and Decision Synergy
Downloads 2,982 (5,253)
Citation 11

Abstract:

Loading...

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 2,858 (5,609)
Citation 2

Abstract:

Loading...

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 2,633 (6,404)
Citation 1

Abstract:

Loading...

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 2,403 (7,444)
Citation 32

Abstract:

Loading...

ETFs, Leveraged ETFs, Realized variance

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
Downloads 987 (29,432)
Citation 2

Abstract:

Loading...

VIX futures, contango, roll yield

7.

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 822 (38,001)
Citation 6

Abstract:

Loading...

stock-loan, hard-to-borrow stocks

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 819 (37,665)
Citation 1

Abstract:

Loading...

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:

Loading...

Stock clustering, options, open interest, volume, pinning

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.
Downloads 710 (46,375)
Citation 9

Abstract:

Loading...

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
Downloads 666 (50,447)
Citation 4

Abstract:

Loading...

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 512 (70,517)
Citation 7

Abstract:

Loading...

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 458 (80,710)
Citation 6

Abstract:

Loading...

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 306 (127,214)
Citation 1

Abstract:

Loading...

Interest rate derivatives, Scheduled events, Monetary Policy

14.

Principal Eigenportfolios for U.S. Equities

Number of pages: 52 Posted: 11 Dec 2020 Last Revised: 25 Oct 2021
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 263 (148,880)

Abstract:

Loading...

Eigenportfolios, Principal Component Analysis, Tensor Decomposition

15.

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 220 (177,123)
Citation 2

Abstract:

Loading...

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 201 (192,703)
Citation 1

Abstract:

Loading...

PCA, Industry Sectors, Common Risk Factors, Hierarchical Models

17.

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 199 (194,420)

Abstract:

Loading...

correlations, factor models, hierarchical PCA, statistical clusters

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 145 (254,780)

Abstract:

Loading...

Hard-to-borrow, Short-selling

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 1 (837,877)
  • Add to Cart

Abstract:

Loading...

subspace performance; clustering algorithm; asset clusters; cluster eigenportfolios; combined portfolio of cluster eigenportfolios.

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:

Loading...

Set partitioning, eigenportfolio, super eigenportfolio, long-only portfolio

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
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:

Loading...

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:

Loading...

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:

Loading...

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:

Loading...

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

Abstract:

Loading...