Juan A. Serur

NYU - Courant Institute of Mathematical Sciences

Bobst Library, E-resource Acquisitions

20 Cooper Square 3rd Floor

New York, NY 10003-711

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 368

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Top 368

in Total Papers Downloads

59,641

SSRN CITATIONS

1

CROSSREF CITATIONS

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Ideas:
“  M.S. in Mathematics in Finance at NYU's Courant Institute of Mathematical Sciences. Quant Strategist at Bank of America Merrill Lynch, New York.  ”

Scholarly Papers (9)

1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 57,780 (21)

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bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

2.

151 Estrategias de Trading (151 Trading Strategies)

Z. Kakushadze y J.A. Serur. 151 Estrategias de Trading (Spanish Edition, 2019), 398 pp; ISBN 978-1071261873
Number of pages: 398 Posted: 19 Jun 2019 Last Revised: 24 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 906 (31,877)

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bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

3.

Risk On-Risk Off: A Regime Switching Model for Active Portfolio Management

Serie Documentos de Trabajo - Nro. 706, 2019
Number of pages: 13 Posted: 16 Jan 2020
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 270 (139,638)

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regime switching, active investment, two fund separation, excess returns, hidden markov model, VIX

4.

Measuring and Trading Volatility on the US Stock Market: A Regime Switching Approach

Serie Documentos de Trabajo - Documento Nro. 659
Number of pages: 27 Posted: 23 Oct 2018 Last Revised: 12 Dec 2018
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 258 (146,273)
Citation 1

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Realized Volatility, Expected Volatility, Volatility Premium, Regime Switching, Excess Returns, Hidden Markov Model, VIX

5.

Testing Momentum Effect for the US Market: From Equity to Option Strategies

Serie Documentos de Trabajo, Nro. 621
Number of pages: 45 Posted: 13 Oct 2017
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 216 (173,624)

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Momentum, four-factor model, asset pricing, option pricing, implied volatility, index options.

6.

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks

Serie Documentos de Trabajo, Nro. 703, 2019
Number of pages: 16 Posted: 23 Dec 2019
University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 108 (305,800)

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Asset Pricing, Options-pricing, Insurance, Capital Markets

7.

Unraveling the Value Premium: A Reward for Risk or Mispricing?

Serie Documentos de Trabajo, Nro. 704, 2019
Number of pages: 29 Posted: 23 Dec 2019
affiliation not provided to SSRN, University of CEMA, NYU - Courant Institute of Mathematical Sciences and University of CEMA
Downloads 60 (431,552)

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Factor Investing, Factor Models, Quality Factor, Excess Returns, Value Investing

8.

Decomposing the VIX Index into Greed and Fear

Serie Documentos de Trabajo - Nro. 780 (2021)
Number of pages: 14 Posted: 07 Apr 2021
NYU - Courant Institute of Mathematical Sciences, University of CEMA and University of CEMA
Downloads 40 (512,304)

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VIX, Volatility, Greed-Fear index, Variance Swap

9.

Reddit Sentiment Analysis

Number of pages: 19
NYU - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 3

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