Readers of Risk have voted Marco Avellaneda, professor of mathematics at New York University, quant of the year for 2010 for his groundbreaking work on the effect of short-selling restrictions on price dynamics.
His paper, A dynamic model for hard to borrow stocks, co-authored with Mike Lipkin of Katama Trading, was published in Risk in June last year (pages 92–97), and has quickly become a classic of market microstructure literature. “Marco addresses complicated issues in his characteristic sty
The week on Risk.net, October 6-12, 2017Receive this by email
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Deutsche Bank expects early 2018 decision on LCH exit
- Industry hails potential US relaxation of margin timing rules
- Leaked EU doc could shield legacy swaps from clearing grab