E-LIB Suche - Ergebnisse für: Avellaneda, Marco

1

Principal Eigenportfolios for U.S. Equities:

Avellaneda, Marco ; Healy, Brian ; Papanicolaou, Andrew.
SIAM Journal on Financial Mathematics. 13 (2022) 3 - p. 702-744 , 2022

Link: https://doi.org/10.1137/..

2

Big data science in finance:

Aldridge, Irene ; Avellaneda, Marco , 2021

Link: https://learning.oreilly..

3

Trading Signals in VIX Futures:

Avellaneda, Marco ; Li, Thomas Nanfeng ; Papanicolaou, Andrew.
Applied Mathematical Finance. 28 (2021) 3 - p. 275-298 , 2021

Link: https://doi.org/10.1080/..

4

Reducing variance in the numerical solution of BSDEs:

Alanko, Samu ; Avellaneda, Marco
Comptes Rendus Mathematique. 351 (2013) 3-4 - p. 135-138 , 2013

Link: https://doi.org/10.1016/..

5

Mathematical Models for Stock Pinning near Option Expiratio..:

Avellaneda, Marco ; Kasyan, Gennady ; Lipkin, Michael D.
Communications on Pure and Applied Mathematics. 65 (2012) 7 - p. 949-974 , 2012

Link: https://doi.org/10.1002/..

6

Path-Dependence of Leveraged ETF Returns:

Avellaneda, Marco ; Zhang, Stanley
SIAM Journal on Financial Mathematics. 1 (2010) 1 - p. 586-603 , 2010

Link: https://doi.org/10.1137/..

7

Statistical arbitrage in the US equities market:

Avellaneda, Marco ; Lee, Jeong-Hyun
Quantitative Finance. 10 (2010) 7 - p. 761-782 , 2010

Link: https://doi.org/10.1080/..

8

High-frequency trading in a limit order book:

Avellaneda, Marco ; Stoikov, Sasha
Quantitative Finance. 8 (2008) 3 - p. 217-224 , 2008

Link: https://doi.org/10.1080/..

9

A market-induced mechanism for stock pinning:

Avellaneda, Marco ; Lipkin, Michael D
Quantitative Finance. 3 (2003) 6 - p. 417-425 , 2003

Link: https://doi.org/10.1088/..

10

Application of large deviation methods to the pricing of in..:

Avellaneda, Marco ; Boyer-Olson, Dash ; Busca, Jérôme.
Comptes Rendus Mathematique. 336 (2003) 3 - p. 263-266 , 2003

Link: https://doi.org/10.1016/..

11

On parabolic equations with gauge function term and applica..:

Kampen, Jörg ; Avellaneda, Marco
Applied Mathematical Finance. 10 (2003) 3 - p. 215-228 , 2003

Link: https://doi.org/10.1080/..

12

Introduction to the special issue on volatility modelling:

Cont, Rama ; Avellaneda, Marco
Quantitative Finance. 2 (2002) 1 - p. 6-7 , 2002

Link: https://doi.org/10.1088/..

13

Quantitative analysis in financial markets: collected paper..:

Avellaneda, Marco , 2001

Link: https://search.ebscohost..

14

Quantitative analysis in financial markets: collected paper..:

Avellaneda, Marco , 2001

Link: https://search.ebscohost..

15

Quantitative analysis in financial markets: Collected paper..:

Avellaneda, Marco , 1999

Link: https://search.ebscohost..