Marco Avellaneda

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

Children

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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
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Publications

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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
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