Marco Avellaneda

New York University, New York, NY, United States 
Mathematics, Statistics
"Marco Avellaneda"


Sign in to add trainee
Juyoung Lim grad student 2003 NYU
Eric Ben-Artzi grad student 2006 NYU
Junyoep Park grad student 2007 NYU
Bocar S. Mbengue grad student 2012 NYU
Doris Dobi grad student 2014 NYU
Hongsik Kim grad student 2014 NYU
BETA: Related publications


You can help our author matching system! If you notice any publications incorrectly attributed to this author, please sign in and mark matches as correct or incorrect.

Genaro AD, Avellaneda M. (2019) Does the Lending Rate Impact ETF's Prices? Brazilian Review of Econometrics. 38: 287-319
Avellaneda M, Papanicolaou A. (2019) STATISTICS of VIX FUTURES and APPLICATIONS to TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS International Journal of Theoretical and Applied Finance. 22: 1850061
Genaro AD, Avellaneda M. (2018) Pricing interest rate derivatives under monetary changes International Journal of Theoretical and Applied Finance. 21: 1850037
Avellaneda M, Kasyan G, Lipkin MD. (2012) Mathematical Models for Stock Pinning near Option Expiration Dates Communications On Pure and Applied Mathematics. 65: 949-974
Pollak I, Avellaneda M, Bacry E, et al. (2011) Improving the visibility of financial applications among signal processing researchers Ieee Signal Processing Magazine. 28: 14-15
Avellaneda M, Lee JH. (2010) Statistical arbitrage in the US equities market Quantitative Finance. 10: 761-782
Avellaneda M, Zhang S. (2010) Path-dependence of leveraged ETF returns Siam Journal On Financial Mathematics. 1: 586-603
Avellaneda M, Stoikov S. (2008) High-frequency trading in a limit order book Quantitative Finance. 8: 217-224
Avellaneda M. (2004) A look ahead at options pricing and volatility Quantitative Finance. 4
Avellaneda M, Lipkin MD. (2003) A market-induced mechanism for stock pinning Quantitative Finance. 3: 417-425
See more...