Works (7)

2022 journal article

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

JOURNAL OF PORTFOLIO MANAGEMENT, ["48"](3), ["220–239"].

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

Sources: Web Of Science, ORCID
Added: February 21, 2022

2022 article

Consistent time-homogeneous modeling of SPX and VIX derivatives

Papanicolaou, A. (2022, May 14). MATHEMATICAL FINANCE, Vol. 5, p. [""].

By: A. Papanicolaou

Sources: Web Of Science, ORCID
Added: May 23, 2022

2022 journal article

Principal Eigenportfolios for US Equities

SIAM JOURNAL ON FINANCIAL MATHEMATICS, ["13"](3), ["702–744"].

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

Sources: Web Of Science, ORCID
Added: November 14, 2022

2022 article

Static replication of European standard dispersion options

Bossu, S., Carr, P., & Papanicolaou, A. (2022, March 23). QUANTITATIVE FINANCE, Vol. 3, p. [""].

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

Sources: Web Of Science, ORCID
Added: April 4, 2022

2022 article

Statistical Arbitrage for Multiple Co-integrated Stocks

Li, T. N., & Papanicolaou, A. (2022, June 7). APPLIED MATHEMATICS AND OPTIMIZATION, Vol. 86, p. [""].

By: T. Li & A. Papanicolaou

Sources: Web Of Science, ORCID
Added: June 20, 2022

2019 article

Dynamic Optimal Portfolios for Multiple Co-Integrated Assets

Papanicolaou, A. (2019, August 6).

By: A. Papanicolaou

Source: ORCID
Added: April 23, 2022

2019 journal article

PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES

The ANZIAM Journal, 61(02), 161–194.

By: L. Amaral & A. Papanicolaou

Source: ORCID
Added: June 5, 2022

Employment

2020 - present

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

Education

2007 - 2010

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

Funding History

Funding history based on the linked ORCID record.

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