Marco Avellaneda

According to our database, Marco Avellaneda authored at least 8 papers between 2000 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

Principal Eigenportfolios for U.S. Equities.

Marco Avellaneda, Brian Healy, Andrew Papanicolaou, George Papanicolaou

SIAM J. Financial Math., 2022

2012

Introduction to the Issue on Signal Processing Methods in Finance and Electronic Trading.

Ali N. Akansu, Sanjeev R. Kulkarni, Marco Avellaneda, Andrew R. Barron

IEEE J. Sel. Top. Signal Process., 2012

2011

Portfolio Risk in Multiple Frequencies.

Mustafa U. Torun, Ali N. Akansu, Marco Avellaneda

IEEE Signal Process. Mag., 2011

Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors].

Ilya Pollak, Marco Avellaneda, Emmanuel Bacry, Rama Cont, Sanjeev R. Kulkarni

IEEE Signal Process. Mag., 2011

Forecasting prices from level-I quotes in the presence of hidden liquidity.

Marco Avellaneda, Josh Reed, Sasha Stoikov

Algorithmic Finance, 2011

Risk management for trading in multiple frequencies.

Mustafa U. Torun, Ali N. Akansu, Marco Avellaneda

Proceedings of the IEEE International Conference on Acoustics, 2011

2010

Path-Dependence of Leveraged ETF Returns.

Marco Avellaneda, Stanley Zhang

SIAM J. Financial Math., 2010

2000

Frequency-Dependent Acoustics of Composites with Interfaces.

J. F. Clouet, Leonid Berlyand, Marco Avellaneda

SIAM J. Appl. Math., 2000