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Andrew Papanicolaou's Homepage

Papers

Preprints

  1. Li, Thomas Nanfeng, Siddarth Naik, Andrew Papanicolaou, and Lorenzo Schoenleber. “Implied Impermanent Loss: A Cross-Sectional Analysis of Decentralized Liquidity Pools.” (2024) SSRN
  2. Li, Thomas Nanfeng, Siddarth Naik, Andrew Papanicolaou, and Lorenzo Schoenleber. “Yield farming for liquidity provision.” (2023) SSRN
  3. Medhin,  Negash, Andrew Papanicolaou and Marwen Zrida. “Partial-information Q-learning for general two-player stochastic games.” (2023) arXiv

Publications

  1. Dai, Bolun, Prashanth Krishnamurthy, Andrew Papanicolaou, and Farshad Khorrami. “State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE.” to appear in Automatica (2023) arXiv
  2. Papanicolaou, Andrew, Hao Fu, Prashanth Krishnamurthy, Brian Healy, and Farshad Khorrami. “An optimal control strategy for execution of large stock orders using LSTMs.” Journal of Computational Finance 26, no. 4 (2023):1–29. arXiv DOI: 10.21314/JCF.2023.003
  3. Papanicolaou, Andrew, Hao Fu, Prasanth Krishnamurthy, and Farshad Khorrami. “A deep neural network algorithm for linear-quadratic portfolio optimization with MGARCH and small transaction costs.” IEEE Access (2023) arXiv DOI:10.1109/ACCESS.2023.3245570
  4. Avellaneda, Marco, Brian Healy, Andrew Papanicolaou, and George Papanicolaou. “Principal eigenportfolios for US equities.” SIAM Journal on Financial Mathematics 13, no. 3 (2022): 702-744. SSRN DOI:10.1137/20M1383501
  5. Li, Thomas Nanfeng, and Andrew Papanicolaou. “Statistical arbitrage for multiple co-integrated stocks.” Applied Mathematics & Optimization 86, no. 1 (2022): 12. arXiv, Supplementary Materials DOI:10.1007/s00245-022-09838-3
  6. Papanicolaou, Andrew. “Consistent time‐homogeneous modeling of SPX and VIX derivatives.” Mathematical Finance 32, no. 3 (2022): 907-940. arXiv DOI:10.1111/mafi.12348
  7. Bossu, Sebastien, Peter Carr, and Andrew Papanicolaou. “Static replication of European standard dispersion options.” Quantitative Finance 22, no. 5 (2022): 799-811. SSRN DOI:10.1080/14697688.2022.2040743
  8. Avellaneda, Marco, Thomas Nanfeng Li, Andrew Papanicolaou, and Gaozhan Wang. “Trading signals in VIX futures.” Applied Mathematical Finance 28, no. 3 (2021): 275-298. arXiv DOI:10.1080/1350486X.2021.2010584
  9. Amir-Ghassemi, Faryan, Andrew Papanicolaou, and Michael Perlow. “Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas.” The Journal of Portfolio Management 48, no. 3 (2022): 220-239. preprint, online appendix DOI:10.3905/jpm.2021.1.313
  10. Bossu, Sebastien, Peter Carr, and Andrew Papanicolaou. “A functional analysis approach to the static replication of European options.” Quantitative Finance 21, no. 4 (2021): 637-655. SSRN DOI:10.1080/14697688.2020.1810857
  11. Dai, Bolun, Prashanth Krishnamurthy, Andrew Papanicolaou, and Farshad Khorrami. “State constrained stochastic optimal control using LSTMs.” In 2021 American Control Conference (ACC), pp. 1294-1299. IEEE, 2021. arXiv DOI: 10.23919/ACC50511.2021.9482832.
  12. Avellaneda, Marco, Brian Healy, Andrew Papanicolaou, and George Papanicolaou. “PCA for implied volatility surfaces.” The Journal of Financial Data Science 2, no. 2 (2020): 85-109. arXiv DOI: 10.3905/jfds.2020.1.032
  13. Chandra, Shiva, and Andrew Papanicolaou. “Singular Perturbation Expansion for Utility Maximization with Order-$\epsilon$ Quadratic Transaction Costs.” Forthcoming, International Journal of Theoretical and Applied Finance (2019). arXiv DOI: 10.1142/S0219024919500390
  14. Avellaneda, Marco, and Andrew Papanicolaou. “Statistics of VIX futures and applications to trading volatility exchange-traded products.” International Journal of Theoretical and Applied Finance 22, no. 01 (2019): 1850061. SSRN DOI: 10.1142/S0219024918500619
  15. Amaral, Lucas Rabechini, and Andrew Papanicolaou. “Price impact of large orders using Hawkes processes.” The ANZIAM Journal 61, no. 2 (2019): 161-194. SSRN DOI: 10.1017/S1446181119000038
  16. Papanicolaou, Andrew. “Backward SDEs for control with partial information.” Mathematical Finance 29, no. 1 (2019): 208-248. arXiv DOI: 10.1111/mafi.12174
  17. Papanicolaou, Andrew. “Extreme-strike comparisons and structural bounds for SPX and VIX options.” SIAM Journal on Financial Mathematics 9, no. 2 (2018): 401-434. arXiv DOI. 10.1137/141001615
  18. Papanicolaou, Andrew, and Konstantinos Spiliopoulos. “Dimension reduction in statistical estimation of partially observed multiscale processes.” SIAM/ASA Journal on Uncertainty Quantification 5, no. 1 (2017): 1220-1247. arXiv DOI: 10.1137/16M1085930
  19. Fouque, J-P., Andrew Papanicolaou, and Ronnie Sircar. “Perturbation analysis for investment portfolios under partial information with expert opinions.” SIAM Journal on Control and Optimization 55, no. 3 (2017): 1534-1566. SSRN DOI: 10.1137/15M1006854
  20. Lee, Sangmin, and Andrew Papanicolaou. “Pairs trading of two assets with uncertainty in co-integration’s level of mean reversion.” International Journal of Theoretical and Applied Finance 19, no. 08 (2016): 1650054. SSRN DOI:10.1142/S0219024916500540
  21. Papanicolaou, Andrew. “Analysis of VIX markets with a time-spread portfolio.” Applied Mathematical Finance 23, no. 5 (2016): 374-408. SSRN DOI: 10.1080/1350486X.2017.1290534
  22. Fouque, Jean-Pierre, Andrew Papanicolaou, and Ronnie Sircar. “Filtering and portfolio optimization with stochastic unobserved drift in asset returns.” Communications in Mathematical Sciences 13, no. 4 (2015): 935-953. SSRN DOI: 10.4310/CMS.2015.v13.n4.a5
  23. Papanicolaou, Andrew, and Konstantinos Spiliopoulos. “Filtering the maximum likelihood for multiscale problems.” Multiscale Modeling & Simulation 12, no. 3 (2014): 1193-1229. arXiv DOI: 10.1137/140952648
  24. Fuertes, Carlos, and Andrew Papanicolaou. “Implied filtering densities on the hidden state of stochastic volatility.” Applied Mathematical Finance 21, no. 6 (2014): 483-522. arXiv DOI: 10.1080/1350486X.2014.891357
  25. Papanicolaou, Andrew, and Ronnie Sircar. “A regime-switching Heston model for VIX and S&P 500 implied volatilities.” Quantitative Finance 14, no. 10 (2014): 1811-1827. SSRN DOI:  10.1080/14697688.2013.814923
  26. Papanicolaou, Andrew. “Dimension reduction in discrete time portfolio optimization with partial information.” SIAM Journal on Financial Mathematics 4, no. 1 (2013): 916-960. SSRN DOI: 10.1137/16M1085930
  27. Papanicolaou, Andrew. “Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states.” Multiscale Modeling & Simulation 10, no. 3 (2012): 906-935. arXiv DOI: 10.1137/110819937
  28. Papanicolaou, Andrew. “Filtering for fast mean-reverting processes.” Asymptotic analysis 70, no. 3-4 (2010): 155-176. SSRN DOI: 10.3233/ASY-2010-1011