56 citations · 58 across the 4 of their papers we have counts for
5 papers
Trading Signals In VIX Futures
M. Avellaneda, T. N. Li, A. Papanicolaou +1
We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures b…
Hierarchical PCA and Modeling Asset Correlations
Marco Avellaneda, Juan Andrés Serur
Modeling cross-sectional correlations between thousands of stocks, across countries and industries, can be challenging. In this paper, we demonstrate the advantages of using Hierar…
PCA for Implied Volatility Surfaces
Marco Avellaneda, Brian Healy, Andrew Papanicolaou +1
Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a P…
Hierarchical PCA and Applications to Portfolio Management
Marco Avellaneda
It is widely known that the common risk-factors derived from PCA beyond the first eigenportfolio are generally difficult to interpret and thus to use in practical portfolio managem…
Scalar transport in compressible flow
M. Vergassola, M. Avellaneda
Transport of scalar fields in compressible flow is investigated. The effective equations governing the transport at scales large compared to those of the advecting flow are derived…