Fingerprint Fingerprint is based on mining the text of the persons scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Composite materials Engineering & Materials Science
diffusivity Physics & Astronomy
composite materials Physics & Astronomy
polycrystals Physics & Astronomy
Porous materials Engineering & Materials Science
Diffusivity Mathematics
conductivity Physics & Astronomy
vortices Physics & Astronomy

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Research Output 1985 2013

Reducing variance in the numerical solution of BSDEs

Alanko, S. & Avellaneda, M. Feb 2013 In : Comptes Rendus Mathematique. 351, 3-4, p. 135-138 4 p.

Research output: Contribution to journalArticle

Backward stochastic differential equation
Conditional expectation
Time discretization
Computational cost

Introduction to the issue on signal processing methods in finance and electronic trading

Akansu, A. N., Kulkarni, S. R., Avellaneda, M. M. & Barron, A. R. 2012 In : IEEE Journal on Selected Topics in Signal Processing. 6, 4, p. 297 1 p., 6239664

Research output: Contribution to journalArticle

Signal processing
Electronic trading

Mathematical Models for Stock Pinning near Option Expiration Dates

Avellaneda, M., Kasyan, G. & Lipkin, M. D. Jul 2012 In : Communications on Pure and Applied Mathematics. 65, 7, p. 949-974 26 p.

Research output: Contribution to journalArticle

Mathematical models

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

Avellaneda, M., Reed, J. & Stoikov, S. 2011 In : Algorithmic Finance. 1, 1, p. 35-43 9 p.

Research output: Contribution to journalArticle

High-frequency data
Information content
Diffusion model

Improving the visibility of financial applications among signal processing researchers

Pollak, I., Avellaneda, M., Bacry, E., Cont, R. & Kulkarni, S. Sep 2011 In : IEEE Signal Processing Magazine. 28, 5, p. 14-15 2 p., 5999571

Research output: Contribution to journalArticle

Signal processing