Marco Avellaneda - Publications

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

56 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2013 Alanko S, Avellaneda M. Reducing variance in the numerical solution of BSDEs Comptes Rendus Mathematique. 351: 135-138. DOI: 10.1016/j.crma.2013.02.010  0.88
2012 Akansu AN, Kulkarni SR, Avellaneda MM, Barron AR. Introduction to the issue on signal processing methods in finance and electronic trading Ieee Journal On Selected Topics in Signal Processing. 6: 297. DOI: 10.1109/JSTSP.2012.2204911  0.88
2012 Avellaneda M, Kasyan G, Lipkin MD. Mathematical Models for Stock Pinning near Option Expiration Dates Communications On Pure and Applied Mathematics. 65: 949-974. DOI: 10.1002/cpa.21404  0.88
2011 Avellaneda M, Reed J, Stoikov S. Forecasting prices from level-I quotes in the presence of hidden liquidity Algorithmic Finance. 1: 35-43. DOI: 10.3233/AF-2011-004  0.88
2011 Torun MU, Akansu AN, Avellaneda M. Portfolio risk in multiple frequencies Ieee Signal Processing Magazine. 28: 61-71. DOI: 10.1109/MSP.2011.941552  0.88
2011 Pollak I, Avellaneda M, Bacry E, Cont R, Kulkarni S. Improving the visibility of financial applications among signal processing researchers Ieee Signal Processing Magazine. 28: 14-15. DOI: 10.1109/MSP.2011.941547  0.88
2011 Torun MU, Akansu AN, Avellaneda M. Risk management for trading in multiple frequencies Icassp, Ieee International Conference On Acoustics, Speech and Signal Processing - Proceedings. 5736-5739. DOI: 10.1109/ICASSP.2011.5947663  0.88
2010 Avellaneda M, Zhang S. Path-dependence of leveraged ETF returns Siam Journal On Financial Mathematics. 1: 586-603. DOI: 10.1137/090760805  0.88
2010 Avellaneda M, Lee JH. Statistical arbitrage in the US equities market Quantitative Finance. 10: 761-782. DOI: 10.1080/14697680903124632  0.88
2008 Avellaneda M, Stoikov S. High-frequency trading in a limit order book Quantitative Finance. 8: 217-224. DOI: 10.1080/14697680701381228  0.88
2004 Avellaneda M. A look ahead at options pricing and volatility Quantitative Finance. 4. DOI: 10.1080/14697680400024913  0.88
2003 Avellaneda M, Lipkin MD. A market-induced mechanism for stock pinning Quantitative Finance. 3: 417-425. DOI: 10.1088/1469-7688/3/6/301  0.88
2003 Kampen J, Avellaneda M. On parabolic equations with gauge function term and applications to the multidimensional Leland equation Applied Mathematical Finance. 10: 215-228. DOI: 10.1080/1350486032000107361  0.88
2003 Avellaneda M, Boyer-Olson D, Busca J, Friz P. Application of large deviation methods to the pricing of index options in finance Comptes Rendus Mathematique. 336: 263-266. DOI: 10.1016/S1631-073X(03)00032-3  0.88
2000 Avellaneda M, Berlyand L, Clouet JF. Frequency-dependent acoustics of composites with interfaces Siam Journal On Applied Mathematics. 60: 2143-2181. DOI: 10.1137/S0036139998342818  0.88
1999 Ryan R, Avellaneda M. The one-point statistics of viscous Burgers turbulence initialized with Gaussian data Communications in Mathematical Physics. 200: 1-23.  0.88
1998 Avellaneda M, Swart PJ. Calculating the performance of 1-3 piezoelectric composites for hydrophone applications: An effective medium approach Journal of the Acoustical Society of America. 103: 1449-1467. DOI: 10.1121/1.421306  0.88
1997 Vergassola M, Avellaneda M. Scalar transport in compressible flow Physica D: Nonlinear Phenomena. 106: 148-166. DOI: 10.1016/S0167-2789(97)00022-5  0.88
1997 Avellaneda M. An introduction to option pricing and the mathematical theory of risk Rendiconti Del Seminario Matematico E Fisico Di Milano. 67: 225-250. DOI: 10.1007/BF02930502  0.88
1997 Macevoy WJ, Avellaneda M. Electroosmotic coupling: Incorporating larger surface effects with a new length scale Journal of Colloid and Interface Science. 188: 139-149. DOI: 10.1006/jcis.1996.4742  0.88
1997 Apelian C, Holmes RL, Avellaneda M. A turbulent transport model: Streamline results for a class of random velocity fields in the plane Communications On Pure and Applied Mathematics. 50: 1053-1088.  0.88
1996 Avellaneda M, Cherkaev AV, Gibiansky LV, Milton GW, Rudelson M. A complete characterization of the possible bulk and shear moduli of planar polycrystals Journal of the Mechanics and Physics of Solids. 44: 1179-1218. DOI: 10.1016/0022-5096(96)00018-X  0.88
1995 Avellaneda M, Vergassola M. Stieltjes integral representation of effective diffusivities in time-dependent flows Physical Review E. 52: 3249-3251. DOI: 10.1103/PhysRevE.52.3249  0.88
1995 Avellaneda M, Parás A, Levy A. Pricing and hedging derivative securities in markets with uncertain volatilities Applied Mathematical Finance. 2: 73-88. DOI: 10.1080/13504869500000005  0.88
1995 Avellaneda M. Statistical properties of shocks in Burgers turbulence, II: Tail probabilities for velocities, shock-strengths and rarefaction intervals Communications in Mathematical Physics. 169: 45-59. DOI: 10.1007/BF02101596  0.88
1995 Avellaneda M, Ryan R, Weinan E. PDFs for velocity and velocity gradients in Burgers' turbulence Physics of Fluids. 7: 3067-3071.  0.88
1994 Avellaneda M, Harshé G. Magnetoelectric Effect in Piezoelectric/Magnetostrictive Multilayer (2-2) Composites Journal of Intelligent Material Systems and Structures. 5: 501-513. DOI: 10.1177/1045389X9400500406  0.88
1994 Avellaneda M, Paras A. Dynamic hedging portfolios for derivative securities in the presence of large transaction costs Applied Mathematical Finance. 1: 165-194. DOI: 10.1080/13504869400000010  0.88
1994 Avellaneda M, Majda AJ. Simple examples with features of renormalization for turbulent transport Philosophical Transactions - Royal Society of London, A. 346: 205-233.  0.88
1993 Avellaneda M, Olson T. Effective Medium Theories and Effective Electromechanical Coupling Factors for Piezoelectric Composites Journal of Intelligent Material Systems and Structures. 4: 82-88. DOI: 10.1177/1045389X9300400111  0.88
1993 Laurence P, Avellaneda M. A moffatt-arnold formula for the mutual helicity of linked flux tubes Geophysical &Amp; Astrophysical Fluid Dynamics. 69: 243-256. DOI: 10.1080/03091929308203581  0.88
1993 Laurence P, Avellaneda M. Woltjer's variational principle, II: The case of unbounded domains Geophysical &Amp; Astrophysical Fluid Dynamics. 69: 201-241. DOI: 10.1080/03091929308203580  0.88
1993 Avellaneda M, Elliott F, Apelian C. Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field Journal of Statistical Physics. 72: 1227-1304. DOI: 10.1007/BF01048187  0.88
1993 Avellaneda M, Achdou Y. Electrical estimation of the dynamical permeability of a porous medium with irregular pores American Society of Mechanical Engineers, Petroleum Division (Publication) Pd. 53: 303-307.  0.88
1992 Avellaneda M, Majda AJ. Renormalization theory for eddy diffusivity in turbulent transport. Physical Review Letters. 68: 3028-3031. PMID 10045589 DOI: 10.1103/PhysRevLett.68.3028  0.88
1992 Olson T, Avellaneda M. Effective dielectric and elastic constants of piezoelectric polycrystals Journal of Applied Physics. 71: 4455-4464. DOI: 10.1063/1.350788  0.88
1992 Avellaneda M, Majda A. Mathematical models with exact renormalization for turbulent transport, II: Fractal interfaces, non-Gaussian statistics and the sweeping effect Communications in Mathematical Physics. 146: 139-204. DOI: 10.1007/BF02099212  0.88
1992 Avellaneda M, Majda AJ. Superdiffusion in nearly stratified flows Journal of Statistical Physics. 69: 689-729. DOI: 10.1007/BF01050431  0.88
1992 Achdou Y, Avellaneda M. Influence of pore roughness and pore-size dispersion in estimating the permeability of a porous medium from electrical measurements Physics of Fluids A. 4: 2651-2673.  0.88
1992 Achdou Y, Avellaneda M. Permeability of a porous medium: Electrical and diffusional estimators American Society of Mechanical Engineers, Applied Mechanics Division, Amd. 147: 115-122.  0.88
1992 Avellaneda M, Majda AJ. Approximate and exact renormalization theories for a model for turbulent transport Physics of Fluids A. 4: 41-57.  0.88
1991 Avellaneda M, Majda AJ. An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows Communications in Mathematical Physics. 138: 339-391. DOI: 10.1007/BF02099496  0.88
1991 Avellaneda M. Enhanced diffusivity and intercell transition layers in 2-D models of passive advection Journal of Mathematical Physics. 32: 3209-3212.  0.88
1991 Torquato S, Avellaneda M. Diffusion and reaction in heterogeneous media: Pore size distribution, relaxation times, and mean survival time The Journal of Chemical Physics. 95: 6477-6489.  0.88
1991 Torquato S, Avellaneda M. Cross-property relations for transport in porous media. Rigorous link between fluid permeability, conductivity and relaxation times American Society of Mechanical Engineers, Fluids Engineering Division (Publication) Fed. 122: 73-81.  0.88
1991 Avellaneda M, Torquato S. Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media Physics of Fluids A. 3: 2529-2540.  0.88
1991 Laurence P, Avellaneda M. On Woltjer's variational principle for force-free fields Journal of Mathematical Physics. 32: 1240-1253.  0.88
1991 Avellaneda M, Torquato S, Kim IC. Diffusion and geometric effects in passive advection by random arrays of vortices Physics of Fluids A. 3: 1880-1891.  0.88
1990 Lipton R, Avellaneda M. Darcy’s law for slow viscous flow past a stationary array of bubbles Proceedings of the Royal Society of Edinburgh: Section a Mathematics. 114: 71-79. DOI: 10.1017/S0308210500024276  0.88
1990 Avellaneda M, Bruno O. Effective conductivity and average polarizability of random polycrystals Journal of Mathematical Physics. 31: 2047-2056.  0.88
1989 Avellaneda M, Majda AJ. Stieltjes integral representation and effective diffusivity bounds for turbulent transport. Physical Review Letters. 62: 753-755. PMID 10040324 DOI: 10.1103/PhysRevLett.62.753  0.88
1989 Avellaneda M, Cherkaev AV, Lurie KA, Milton G. On the conductivity of polycrystals and a phase-interchange inequality Physica a: Statistical Mechanics and Its Applications. 157: 148-153. DOI: 10.1016/0378-4371(89)90291-4  0.88
1988 Avellaneda M, Cherkaev AV, Lurie KA, Milton GW. On the effective conductivity of polycrystals and a three-dimensional phase-interchange inequality Journal of Applied Physics. 63: 4989-5003. DOI: 10.1063/1.340445  0.88
1988 Avellaneda M, Milton GW. Bounds on the effective elasticity tensor of composites based on two-point correlations American Society of Mechanical Engineers, Petroleum Division (Publication) Pd. 24: 89-93.  0.88
1987 Avellaneda M, Lin FH. Counterexamples related to high-frequency oscillation of Poisson's kernel Applied Mathematics &Amp; Optimization. 15: 109-119. DOI: 10.1007/BF01442649  0.88
1987 Avellaneda M, Lin FH. Homogenization of elliptic problems with Lp boundary data Applied Mathematics &Amp; Optimization. 15: 93-107. DOI: 10.1007/BF01442648  0.88
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