Works (28)

Updated: April 4th, 2024 09:30

2023 journal article

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

IEEE Access, 1–1.

By: A. Papanicolaou n, H. Fu, P. Krishnamurthy & F. Khorrami

Sources: Crossref, NC State University Libraries, ORCID
Added: February 18, 2023

2023 journal article

An optimal control strategy for execution of large stock orders using long short-term memory networks

JOURNAL OF COMPUTATIONAL FINANCE, 26(4), 37–65.

By: A. Papanicolaou*, H. Fu, P. Krishnamurthy, B. Healy & F. Khorrami

author keywords: price impact; order books; optimal execution; long short-term memory (LSTM) networks; trading volume
Sources: Web Of Science, NC State University Libraries
Added: December 18, 2023

2023 journal article

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

AUTOMATICA, 155.

By: B. Dai*, P. Krishnamurthy*, A. Papanicolaou n & F. Khorrami*

author keywords: Stochastic control; Optimal control; Forward and backward stochastic; differential equations
Sources: Web Of Science, NC State University Libraries
Added: August 14, 2023

2022 journal article

Consistent time‐homogeneous modeling of SPX and VIX derivatives

Mathematical Finance, 32(3), 907–940.

By: A. Papanicolaou n

author keywords: consistent pricing; market models; stochastic volatility; VIX futures
UN Sustainable Development Goal Categories
Sources: Web Of Science, NC State University Libraries, ORCID, Crossref
Added: May 23, 2022

2022 journal article

Principal Eigenportfolios for U.S. Equities

SIAM Journal on Financial Mathematics, 13(3), 702–744.

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

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

2022 journal article

Static replication of European standard dispersion options

Quantitative Finance, 22(5), 799–811.

By: S. Bossu*, P. Carr & A. Papanicolaou n

UN Sustainable Development Goal Categories
Sources: Web Of Science, NC State University Libraries, 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 n

author keywords: Co-integrated stocks; Eigenportfolio; Factor model; Market-neutral portfolio; Matrix Riccati equation; Optimisation; Statistical arbitrage; Stochastic control
Sources: Web Of Science, ORCID, NC State University Libraries, 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), 220–239.

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

UN Sustainable Development Goal Categories
Sources: Web Of Science, NC State University Libraries, 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. Krishnamurthy*, A. Papanicolaou n & F. Khorrami*

Event: 2021 American Control Conference (ACC)

TL;DR: A new methodology for state constrained stochastic optimal control (SOC) problems using a deep neural network (DNN) to solve the FBSDE, and the state constraints are incorporated using a hard penalty function, resulting in a controller that respects the constraint boundaries. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2021 journal article

Trading Signals in VIX Futures

Applied Mathematical Finance, 28(3), 275–298.

By: M. Avellaneda*, T. Li*, A. Papanicolaou n & G. Wang*

TL;DR: Out-of-sample backtests of the Vix futures trading strategy suggest that this approach gives rise to reasonable portfolio performance, and to positions in which the investor will be either long or short VIX futures contracts depending on the market environment. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2020 journal article

A functional analysis approach to the static replication of European options

Quantitative Finance, 21(4), 637–655.

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

author keywords: Derivatives; Options; Static replication; Payoff; Integral equation; Functional analysis; Spectral theorem; Breeden-Litzenberger formula; Implied distribution
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2020 journal article

PCA for Implied Volatility Surfaces

The Journal of Financial Data Science, 2(2), 85–109.

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

Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2019 journal article

PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES

The ANZIAM Journal, 61(02), 161–194.

By: L. Amaral* & A. Papanicolaou*

author keywords: price-impact function; limit order books; execution of large orders; Hawkes processes
Sources: ORCID, Crossref, NC State University Libraries
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*

author keywords: VIX futures; volatility ETNs; contango
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2019 journal article

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

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

By: S. Chandra & A. Papanicolaou

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

2018 journal article

Backward SDEs for control with partial information

Mathematical Finance, 29(1), 208–248.

By: A. Papanicolaou*

author keywords: backward stochastic differential equations; non-Markov control; partial information; portfolio optimization
Sources: ORCID, Crossref, NC State University Libraries
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), 401–434.

By: A. Papanicolaou*

author keywords: VIX options; moment formulas; extreme strikes; model free
TL;DR: The relationship between the SPX and Vix options markets is explored, which means that SPX options are a reflection of the extreme-strike asymptotics of VIX options, and vice versa. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
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), 1220–1247.

By: A. Papanicolaou* & K. Spiliopoulos

author keywords: data assimilation; filtering; parameter estimation; homogenization; multiscale diffusions,dimension reduction
TL;DR: It is established for a very general class of test functions that the filter of the original model converges to a filter of reduced dimension, which allows to learn the unknown parameters of interest while working in lower dimensions, as opposed to working with the original high dimensional system. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
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), 1534–1566.

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

author keywords: filtering; control; Hamilton-Jacobi-Bellman equation; portfolio optimization; partial information; expert opinions
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2016 journal article

Analysis of VIX Markets with a Time-Spread Portfolio

Applied Mathematical Finance, 23(5), 374–408.

By: A. Papanicolaou*

Sources: ORCID, Crossref, NC State University Libraries
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. Lee* & A. Papanicolaou*

author keywords: Pairs trading; co-integration; Kalman filter; partial information; stochastic control
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2015 journal article

Filtering and portfolio optimization with stochastic unobserved drift in asset returns

Communications in Mathematical Sciences, 13(4), 935–953.

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

author keywords: Portfolio optimization; filtering; Hamilton-Jacobi-Bellman equation; asymptotic approximations
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2014 journal article

Filtering the Maximum Likelihood for Multiscale Problems

Multiscale Modeling & Simulation, 12(3), 1193–1229.

By: A. Papanicolaou* & K. Spiliopoulos*

author keywords: ergodic filtering; fast mean reversion; homogenization; Zakai equation; maximum likelihood estimation; central limit theory
TL;DR: It is proved that an appropriate normalization of the log-likelihood minus a log- likelihood of reduced dimension converges weakly to a normal distribution and consistency and asymptotic normality of the maximum likelihood estimator are established. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2014 journal article

Implied Filtering Densities on the Hidden State of Stochastic Volatility

Applied Mathematical Finance, 21(6), 483–522.

By: C. Fuertes* & A. Papanicolaou*

Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2013 journal article

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

Quantitative Finance, 14(10), 1811–1827.

By: A. Papanicolaou* & R. Sircar*

author keywords: Applied mathematical finance; Calibration of stochastic volatility; VIX options; Model calibration
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2013 journal article

Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information

SIAM Journal on Financial Mathematics, 4(1), 916–960.

By: A. Papanicolaou*

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), 906–935.

By: A. Papanicolaou*

author keywords: filtering; hidden Markov models; homogenization; ergodic theory
TL;DR: It is shown that the nonlinear filter for a hidden Markov model that evolves with multiple time scales in the hidden states can be approximated by an averaged filter that asymptotically coincides with the true non linear filter of the regime-changing Markov chain as the rate of mean-reversion approaches infinity. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023

2010 journal article

Filtering for fast mean-reverting processes

Asymptotic Analysis, 70(3-4), 155–176.

By: A. Papanicolaou*

author keywords: nonlinear filtering; tracking; fast mean reversion; Kramers-Smoluchowski
TL;DR: The main results of this paper show that nonlinear filtering algorithms for multi-scale models with FMR states can be simplified by exploiting the FMR structures, which leads to a simplified Baum-Welch recursion that is of reduced dimension. (via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
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

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