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Mathematics

D-Index
44
Citations
8735
World Ranking
1570
National Ranking
677

Overview

Marco Avellaneda is affiliated with the Courant Institute of Mathematical Sciences in the United States. Their research focuses primarily on the fields of economics, econometrics, and finance, with specific contributions to finance, economics and econometrics, statistics and probability, electrical and electronic engineering, and management science and operations research.

The scientist's work spans several key topics, including:

  • Complex Systems and Time Series Analysis
  • Financial Markets and Investment Strategies
  • Financial Risk and Volatility Modeling
  • Housing Market and Economics
  • Random Matrices and Applications
  • Stochastic Processes and Financial Applications
  • Energy Load and Power Forecasting

Recent publications by Marco Avellaneda include:

  • "Principal Eigenportfolios for U.S. Equities," 2022, SIAM Journal on Financial Mathematics
  • "Principal Eigenportfolios for U.S. Equities," 2020, SSRN Electronic Journal
  • "PCA for Implied Volatility Surfaces," 2020, The Journal of Financial Data Science
  • "Hierarchical PCA and Modeling Asset Correlations," 2020, SSRN Electronic Journal (authored by Juan Andrés Serur)
  • "Quant Investing in Cluster Portfolios," 2021, The Journal of Investment Strategies (authored by Ali N. Akansu)

Marco Avellaneda collaborates frequently with several co-authors, notably:

  • Brian C. Healy
  • Andrew C. Papanicolaou
  • Juan Andrés Serur
  • George Papanicolaou
  • Ali N. Akansu

The scientist has published in multiple academic venues, including:

  • SSRN Electronic Journal
  • SIAM Journal on Financial Mathematics
  • The Journal of Investment Strategies
  • The Journal of Financial Data Science
  • RePEc: Research Papers in Economics

Best Publications

  • Adaptive greedy approximations

    G. Davis;S. Mallat;M. Avellaneda

  • Pricing and hedging derivative securities in markets with uncertain volatilities

    Marco Avellaneda;A. Levy;A. Paras

  • Statistical arbitrage in the US equities market

    Marco Avellaneda;Jeong Hyun Lee

  • Calibrating volatility surfaces via relative-entropy minimization

    Marco Avellaneda;Craig Friedman;Richard Holmes;Dominick Samperi

  • Compactness methods in the theory of homogenization

    Marco Avellaneda;Fang‐Hua ‐H Lin

  • Path-Dependence of Leveraged ETF Returns

    Marco Avellaneda;Stanley Zhang

  • Mathematical models with exact renormalization for turbulent transport

    Marco Avellaneda;Andrew J. Majda

  • Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media

    M. Avellaneda;S. Torquato;S. Torquato

  • Optimal bounds and microgeometries for elastic two-phase composites

    M. Avellaneda

  • Minimum-Relative-Entropy Calibration of Asset-Pricing Models

    Marco Avellaneda

  • Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

    Marco Avellaneda;Antonio ParÁS

  • An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows

    Marco Avellaneda;Andrew J. Majda

  • Quantitative Modeling of Derivative Securities: From Theory To Practice

    Marco Avellaneda;Peter Laurence;Peter Laurence;Peter Laurence

  • Iterated homogenization, differential effective medium theory and applications

    M. Avellaneda

  • Lp bounds on singular integrals in homogenization

    Marco Avellaneda;Fang-Hua Lin

  • Diffusion and reaction in heterogeneous media: Pore size distribution, relaxation times, and mean survival time

    S. Torquato;S. Torquato;M. Avellaneda

  • On the effective conductivity of polycrystals and a three‐dimensional phase‐interchange inequality

    M. Avellaneda;A. V. Cherkaev;K. A. Lurie;G. W. Milton

  • WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

    Marco Avellaneda;Robert Buff;Craig Friedman;Nicolas Grandchamp

  • Statistical properties of shocks in Burgers turbulence

    Marco Avellaneda;Weinan E

  • Compactness methods in the theory of homogenization II: Equations in non-divergence form

    Marco Avellaneda;Fang‐Hua ‐H Lin

Frequent Co-Authors

Andrew J. Majda
Andrew J. Majda Courant Institute of Mathematical Sciences
Salvatore Torquato
Salvatore Torquato Princeton University
Graeme W. Milton
Graeme W. Milton University of Utah
Ali N. Akansu
Ali N. Akansu New Jersey Institute of Technology
Fanghua Lin
Fanghua Lin Courant Institute of Mathematical Sciences
George Papanicolaou
George Papanicolaou Stanford University
Rama Cont
Rama Cont University of Oxford
Sanjeev R. Kulkarni
Sanjeev R. Kulkarni Princeton University
Weinan E
Weinan E Princeton University
Peter K. Friz
Peter K. Friz Technical University of Berlin

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