Marco Avellaneda

Economics and Econometrics · 2001–2008

A researcher in the Science corpus: 3 papers; trusts 6 researchers and is trusted by 18 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 9 citations into it; #4,789 of 23,481 by trust here, #9,863 by citations
• Finance — 8 citations into it; #2,239 of 10,518 by trust here, #3,946 by citations

Whom Marco Avellaneda trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Philipp Weber
2. Eric Smith
3. Marc Potters
4. Bernd Rosenow
5. Jean-Philippe Bouchaud
6. L. Gillemot

Who trusts Marco Avellaneda overall

1. Rama Cont
2. Peter Tankov
3. Christopher Krauss
4. Á. Cartea
5. Ben M. Hambly
6. Bo Liu
7. Olivier Guéant
8. Paul Glasserman
9. Adamantios Ntakaris
10. Justin A. Sirignano

Papers from Marco Avellaneda's perspective

Ordered by how strongly the researchers Marco Avellaneda trusts endorse each paper. Same corpus, a different order for every researcher.

1. Statistical properties of stock order books: empirical results and models
2. Price fluctuations from the order book perspective - empirical facts and a simple model
3. Statistical theory of the continuous double auction
4. More Statistical Properties of Order Books and Price Impact
5. Order book approach to price impact
6. Information Theory: 1948-1998 - Guest Editorial
7. A theory of power-law distributions in financial market fluctuations (Nature)
8. The Long Memory of the Efficient Market
9. The power of patience: a behavioural regularity in limit-order placement
10. A simulation analysis of the microstructure of double auction markets

Their papers

• High-frequency trading in a limit order book (2008) — 553 citations
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS (2001) — 124 citations
• Statistical arbitrage in the US equities market (2008) — 335 citations