Narrow search
Showing 1 - 10 of 78
Cover Image
Statistical arbitrage in the US equities market
Avellaneda, Marco; Lee, Jeong-Hyun - In: Quantitative Finance 10 (2010) 7, pp. 761-782
We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing stock returns on sector Exchange Traded Funds (ETFs). In both cases, the idiosyncratic returns are modelled as mean-reverting processes,...
Persistent link: https://www.econbiz.de/10008675026
Cover Image
Spatial wage inequality in North America and Western Europe : changes between and within local labour markets 1975-2019
Bauluz, Luis; Bukowski, Pawel; Fransham, Mark; Lee, … - 2023
Persistent link: https://www.econbiz.de/10014327190
Cover Image
Minimum-relative-entropy calibration of asset-pricing models
Avellaneda, Marco - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 447-472
Persistent link: https://www.econbiz.de/10001255560
Cover Image
Pricing Parislan-style options with a lattice method
Avellaneda, Marco; Wu, Lixin - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10001372086
Cover Image
Managing the volatility risk of portfolios of derivate securities : the Lagrangian uncertain volatility model
Avellaneda, Marco - In: Applied mathematical finance 3 (1996) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10001209610
Cover Image
Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar
Avellaneda, Marco (contributor) - 1999
Persistent link: https://www.econbiz.de/10001700519
Cover Image
All for one ... one for all? : A principal component analysis of Latin American Brady bond debt from 1994 to 2000
Scherer, Kevin Paul; Avellaneda, Marco - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 79-106
Persistent link: https://www.econbiz.de/10001657407
Cover Image
Credit contagion : pricing cross-country risk in Brady debt markets
Avellaneda, Marco; Wu, Lixin - In: International journal of theoretical and applied finance 4 (2001) 6, pp. 921-938
Persistent link: https://www.econbiz.de/10001632651
Cover Image
On parabolic equations with gauge function term and applications to the multidimensional Leland equation
Kampen, Jörg; Avellaneda, Marco - In: Applied mathematical finance 10 (2003) 3, pp. 215-228
Persistent link: https://www.econbiz.de/10001841294
Cover Image
Weighted Monte Carlo : a new technique for calibrating asset-pricing models
Avellaneda, Marco (contributor) - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 91-119
Persistent link: https://www.econbiz.de/10001554218