Works (27)

Updated: August 19th, 2023 05:10

2023 journal article

A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs

IEEE Access, 1โ€“1.

By: A. Papanicolaou nโ€‰, H. Fu, P. Krishnamurthy & F. Khorrami

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
Sources: Crossref, ORCID
Added: February 18, 2023

2023 journal article

State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE

AUTOMATICA, 155.

By: B. Dai*, P. Krishnamurthyโ€‰*, A. Papanicolaou nโ€‰ & F. Khorramiโ€‰*

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: Stochastic control; Optimal control; Forward and backward stochastic; differential equations
Sources: Web Of Science, ORCID
Added: August 14, 2023

2022 journal article

Consistent timeโ€homogeneous modeling of SPX and VIX derivatives

Mathematical Finance, 32(3), 907โ€“940.

By: A. Papanicolaou nโ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: consistent pricing; market models; stochastic volatility; VIX futures
Sources: Web Of Science, ORCID, Crossref
Added: May 23, 2022

2022 journal article

Principal Eigenportfolios for U.S. Equities

SIAM Journal on Financial Mathematics, 13(3), 702โ€“744.

By: M. Avellaneda, B. Healy, A. Papanicolaou*โ€‰ & G. Papanicolaou

author keywords: eigenportfolios; principal component analysis; tensor decompositions
Sources: Web Of Science, ORCID, Crossref
Added: November 14, 2022

2022 journal article

Static replication of European standard dispersion options

Quantitative Finance, 22(5), 799โ€“811.

By: S. Bossu*, P. Carr & A. Papanicolaou nโ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
Sources: Web Of Science, ORCID, Crossref
Added: April 4, 2022

2022 journal article

Statistical Arbitrage for Multiple Co-integrated Stocks

Applied Mathematics & Optimization, 86(1).

By: T. Li* & A. Papanicolaou nโ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: Co-integrated stocks; Eigenportfolio; Factor model; Market-neutral portfolio; Matrix Riccati equation; Optimisation; Statistical arbitrage; Stochastic control
Sources: Web Of Science, ORCID, Crossref
Added: April 23, 2022

2021 journal article

Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas

The Journal of Portfolio Management, 48(3), 220โ€“239.

By: F. Amir-Ghassemi*, A. Papanicolaou*โ€‰ & M. Perlow*

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
Sources: Web Of Science, ORCID, Crossref
Added: February 21, 2022

2021 article proceedings

State Constrained Stochastic Optimal Control Using LSTMs

Presented at the 2021 American Control Conference (ACC).

By: B. Dai*, P. Krishnamurthyโ€‰*, A. Papanicolaou nโ€‰ & F. Khorramiโ€‰*

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ

Event: 2021 American Control Conference (ACC)

Sources: ORCID, Crossref
Added: January 13, 2023

2021 journal article

Trading Signals in VIX Futures

Applied Mathematical Finance, 28(3), 275โ€“298.

By: M. Avellaneda*, T. Liโ€‰*, A. Papanicolaou nโ€‰ & G. Wang*

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
Sources: ORCID, Crossref
Added: January 13, 2023

2020 journal article

A functional analysis approach to the static replication of European options

Quantitative Finance, 21(4), 637โ€“655.

By: S. Bossu*, P. Carrโ€‰* & A. Papanicolaou*โ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: Derivatives; Options; Static replication; Payoff; Integral equation; Functional analysis; Spectral theorem; Breeden-Litzenberger formula; Implied distribution
Sources: ORCID, Crossref
Added: January 13, 2023

2020 journal article

PCA for Implied Volatility Surfaces

The Journal of Financial Data Science, 2(2), 85โ€“109.

By: M. Avellaneda, B. Healy, A. Papanicolaou*โ€‰ & G. Papanicolaou

Sources: ORCID, Crossref
Added: January 13, 2023

2019 journal article

PRICE IMPACT OF LARGE ORDERS USING HAWKESย PROCESSES

The ANZIAM Journal, 61(02), 161โ€“194.

By: L. Amaralโ€‰* & A. Papanicolaou*โ€‰

co-author countries: Bulgaria ๐Ÿ‡ง๐Ÿ‡ฌ
author keywords: price-impact function; limit order books; execution of large orders; Hawkes processes
Sources: ORCID, Crossref
Added: June 5, 2022

2019 journal article

STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS

International Journal of Theoretical and Applied Finance, 22(01), 1850061.

By: M. Avellaneda* & A. Papanicolaou*โ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: VIX futures; volatility ETNs; contango
Sources: ORCID, Crossref
Added: January 13, 2023

2019 journal article

Singular Perturbation Expansion for Utility Maximization with Order-ฮต Quadratic Transaction Costs

International Journal of Theoretical and Applied Finance, 22(7), 1950039.

By: S. Chandra & A. Papanicolaouโ€‰

author keywords: Transaction costs; singular perturbation expansion; stochastic control; Merton problem; aim portfolio
Sources: Web Of Science, ORCID
Added: February 18, 2023

2018 journal article

Backward SDEs for control with partial information

Mathematical Finance, 29(1), 208โ€“248.

By: A. Papanicolaou*โ€‰

author keywords: backward stochastic differential equations; non-Markov control; partial information; portfolio optimization
Sources: ORCID, Crossref
Added: January 13, 2023

2018 journal article

Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options

SIAM Journal on Financial Mathematics, 9(2), 401โ€“434.

By: A. Papanicolaou*โ€‰

author keywords: VIX options; moment formulas; extreme strikes; model free
Sources: ORCID, Crossref
Added: January 13, 2023

2017 journal article

Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes

SIAM/ASA Journal on Uncertainty Quantification, 5(1), 1220โ€“1247.

By: A. Papanicolaou*โ€‰ & K. Spiliopoulos

author keywords: data assimilation; filtering; parameter estimation; homogenization; multiscale diffusions,dimension reduction
Sources: ORCID, Crossref
Added: January 13, 2023

2017 journal article

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions

SIAM Journal on Control and Optimization, 55(3), 1534โ€“1566.

By: J. Fouqueโ€‰*, A. Papanicolaou*โ€‰ & R. Sircar*

co-author countries: Bulgaria ๐Ÿ‡ง๐Ÿ‡ฌ United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: filtering; control; Hamilton-Jacobi-Bellman equation; portfolio optimization; partial information; expert opinions
Sources: ORCID, Crossref
Added: January 13, 2023

2016 journal article

Analysis of VIX Markets with a Time-Spread Portfolio

Applied Mathematical Finance, 23(5), 374โ€“408.

By: A. Papanicolaou*โ€‰

Sources: ORCID, Crossref
Added: January 13, 2023

2016 journal article

PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION

International Journal of Theoretical and Applied Finance, 19(08), 1650054.

By: S. Leeโ€‰* & A. Papanicolaou*โ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: Pairs trading; co-integration; Kalman filter; partial information; stochastic control
Sources: ORCID, Crossref
Added: January 13, 2023

2015 journal article

Filtering and portfolio optimization with stochastic unobserved drift in asset returns

Communications in Mathematical Sciences, 13(4), 935โ€“953.

By: J. Fouque*, A. Papanicolaou*โ€‰ & R. Sircar*

co-author countries: Australia ๐Ÿ‡ฆ๐Ÿ‡บ United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: Portfolio optimization; filtering; Hamilton-Jacobi-Bellman equation; asymptotic approximations
Sources: ORCID, Crossref
Added: January 13, 2023

2014 journal article

Filtering the Maximum Likelihood for Multiscale Problems

Multiscale Modeling & Simulation, 12(3), 1193โ€“1229.

By: A. Papanicolaou*โ€‰ & K. Spiliopoulos

author keywords: ergodic filtering; fast mean reversion; homogenization; Zakai equation; maximum likelihood estimation; central limit theory
Sources: ORCID, Crossref
Added: January 13, 2023

2014 journal article

Implied Filtering Densities on the Hidden State of Stochastic Volatility

Applied Mathematical Finance, 21(6), 483โ€“522.

By: C. Fuertes* & A. Papanicolaou*โ€‰

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
Sources: ORCID, Crossref
Added: January 13, 2023

2013 journal article

A regime-switching Heston model for VIX and S&P 500 implied volatilities

Quantitative Finance, 14(10), 1811โ€“1827.

By: A. Papanicolaou*โ€‰ & R. Sircar*

co-author countries: United States of America ๐Ÿ‡บ๐Ÿ‡ธ
author keywords: Applied mathematical finance; Calibration of stochastic volatility; VIX options; Model calibration
Sources: ORCID, Crossref
Added: January 13, 2023

2013 journal article

Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information

SIAM Journal on Financial Mathematics, 4(1), 916โ€“960.

By: A. Papanicolaou*โ€‰

author keywords: filtering; fast mean reversion; partial information; portfolio optimization; approximate dynamic programming; dimension reduction
Source: ORCID
Added: January 13, 2023

2012 journal article

Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States

Multiscale Modeling & Simulation, 10(3), 906โ€“935.

By: A. Papanicolaou*โ€‰

author keywords: filtering; hidden Markov models; homogenization; ergodic theory
Sources: ORCID, Crossref
Added: January 13, 2023

2010 journal article

Filtering for fast mean-reverting processes

Asymptotic Analysis, 70(3-4), 155โ€“176.

By: A. Papanicolaou*โ€‰

co-author countries: Bulgaria ๐Ÿ‡ง๐Ÿ‡ฌ
author keywords: nonlinear filtering; tracking; fast mean reversion; Kramers-Smoluchowski
Sources: ORCID, Crossref
Added: January 13, 2023

Employment

Updated: February 8th, 2021 14:09

2020 - present

North Carolina State University Raleigh, North Carolina, US
Assistant Professor Department of Mathematics

Education

Updated: February 8th, 2021 14:11

2007 - 2010

Brown University Providence, RI, US
PhD Division of Applied Mathematics

Funding History

Funding history based on the linked ORCID record. Updated: December 14th, 2021 15:16

grant
Deep Neural Networks for Solving Non-Markov Optimization Problems
National Science Foundation