Machine Learning & Asset Pricing

Complexity for the Pricing Kernel with Bryan Kelly (Yale/AQR), Shikun Ke (Yale),  and Semyon Malamud (EPFL) [Available upon request]
Presentations: RFS 2023 Conference with Dual Submission, Big Data and Securities Markets

Complexity and the Cross-Section with Bryan Kelly (Yale/AQR), Shikun Ke (Yale), Semyon Malamud (EPFL) [Available upon request]

Deep Surrogate: With an Application to Option Pricing with Hui Chen (MIT) and Simon Scheidegger(UNIL) [SSRN]
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).

Adaptive Machine Learning: an Application to Credit Risk Modeling with Hui Chen (MIT) and Simon Scheidegger(UNIL) [Available upon request]
Presentations: Computational Economics and Finance Remote “Brownbag” Seminar

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 Luciano Somoza (UNIL) [SSRN]
Outreach: Crypto: confirmed casino, Financial Times - Alphaville, Alexandra Scaggs, 11/07/2022 [link] , 21/07/2022 [link] .

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

Making Sense of Retail Investors with Luciano Somoza (UNIL) [Available upon request]