Machine Learning & Asset Pricing

Complexity in Factor Pricing Models with Bryan Kelly (Yale/AQR), Shikun Ke (Yale),  and Semyon Malamud (EPFL) [SSRN]
Presentations: RFS 2023 Conference with Dual Submission, Big Data and Securities Markets

Deep Surrogate: With an Application to Option Pricing with Hui Chen (MIT) and Simon Scheidegger(UNIL) [SSRN] (R&R at Journal of Financial Economics)
Presentations: 2021 European Winter Meeting of the Econometric Society, SIAM Conference on Financial Mathematics and Engineering (2021), Platform for Advanced Scientific Computing (2021), China International Conference in Finance (2021).

Implied Risk Aversion Smile with Simon Scheidegger (UNIL) and Dimitrios Karyampas (Bocconi) [SSRN]
Presentations: ES world congress 2020, MAF2020, Econometric society EWMES-EJM 2020, Zurich Brownbag.

Machine learning

Deep Regression Ensemble with Bryan Kelly (Yale, AQR) and Semyon Malamud (EPFL) [SSRN]

Benign Autoencoders with Semyon Malamud (EPFL), Andreas Schrimpf (BIS), Teng Andrea Xu (EPFL), and Giuseppe Matera (EPFL)  [ARXIV]

Other Interest: Retail Investors, Cryptocurrencies, Insider Tradings

The End of the Crypto-Diversification Myth with Martina Fraschini (Luxembourg) Luciano Somoza (ESSEC) [SSRN]
Outreach: Crypto: confirmed casino, Financial Times - Alphaville, Alexandra Scaggs, 11/07/2022 [link] , 21/07/2022 [link] .
Presentations: 5th UWA Blockchain and Cryptocurrency conference, New Zealand Finance Meeting 2022, CB&DC Job Market Candidates Workshop, NYU Stern (PhD brownbag), Swiss Finance Institute, HEC Lausanne, ToDeFi 2023 (best paper award).

Information Pools and Insider Trading: A Snapshot of America’s Financial Elite with Luciano Somoza (ESSEC) [SSRN]
Presentation: AEA/ASSA 2022 (poster), 7th International Young Finance Scholars’ Conference Peking University, Swiss Finance Institute Research Days 2020, HEC Lausanne