Marco Avellaneda

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


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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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Alanko S, Avellaneda M. (2013) Reducing variance in the numerical solution of BSDEs Comptes Rendus Mathematique. 351: 135-138
Akansu AN, Kulkarni SR, Avellaneda MM, et al. (2012) Introduction to the issue on signal processing methods in finance and electronic trading Ieee Journal On Selected Topics in Signal Processing. 6: 297
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
Avellaneda M, Reed J, Stoikov S. (2011) Forecasting prices from level-I quotes in the presence of hidden liquidity Algorithmic Finance. 1: 35-43
Torun MU, Akansu AN, Avellaneda M. (2011) Portfolio risk in multiple frequencies Ieee Signal Processing Magazine. 28: 61-71
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
Torun MU, Akansu AN, Avellaneda M. (2011) Risk management for trading in multiple frequencies Icassp, Ieee International Conference On Acoustics, Speech and Signal Processing - Proceedings. 5736-5739
Avellaneda M, Zhang S. (2010) Path-dependence of leveraged ETF returns Siam Journal On Financial Mathematics. 1: 586-603
Avellaneda M, Lee JH. (2010) Statistical arbitrage in the US equities market Quantitative Finance. 10: 761-782
Avellaneda M, Stoikov S. (2008) High-frequency trading in a limit order book Quantitative Finance. 8: 217-224
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