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Machine Learning & Asset Pricing
APT or “AIPT”? The Surprising Dominance of Large Factor 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] (Accepted 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).
Out of the (Black)Box: AI as Conditional Probability with Hui Chen (MIT) and Luciano Somoza (ESSEC) [SSRN]
Presentations: WFA (2025)
AI in Finance and Information Overload with Attila Balogh (Uni. of Melbourne), Luciano Somoza (ESSEC), and Hanqing Tian (Uni. of Melbourne) [SSRN]
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
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] , Voxeu.org 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
“Showing Emotions in Academia: What is the Cost and Who Can Afford It?”, with Marina Gertsberg (unimelb) and Hanqing Tian (unimelb) [Draft Coming Soon]
Winner of the AFFECT/JFE Grant, 2024.
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