Quite how I missed this (pdf) I don't know but in January readers of Risk Magazine voted Marco Avellaneda, 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 style, with simplicity and clarity," says Alex Lipton, co-head of the global quantitative group at Bank of America Merrill Lynch and visiting professor of mathematics at Imperial College London.
"Avellaneda and Lipkin have created an easy to understand model that changes the way one should think about particular stocks when writing options," says Alex Langnau, global head of quantitative analytics at Munich-based Allianz Investment Management. "In a way that is different from many other academics, Avellaneda looks at real market situations and then forms a model in the simplest mathematical way that describes the effect. It goes straight to the point without being dragged down by formalism, which is what makes his work so valuable."...
More in this PDF document on Marco's Home Page at NYU Courant.
Articles and commentary by Marco include:
Leveraged ETFs: All you wanted to know but were afraid to ask (Risk Professional, February 2010)
Path Dependence of Leveraged ETF Returns (May 15, 2009)
What do Quants have to do with Benard Madoff? (December 15, 2008, in GARP Feb. 2009)
A dynamic model for hard-to-borrow stocks (this version, March 11, 2009)
Downloadable papers and presentations
Shorting: the math (Forbes, September 25,2008)
Restrictions on Short-Selling are bad for Markets(September 18,2008)
Statistical Arbitrage in the U.S. Equities Market (this version: June 15, 2009), Published version
Hedge-funds: How big is big? (unpublished working paper, 2005)
Finance Focus
MoneyScience Twitter
QFINANCE is a dynamic and comprehensive financial knowledge base and reference source compiled by 300+ leading financial practitioners, visionaries, writers and educators.