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
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).
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.
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] , 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 (UNIL) [SSRN]
Presentation: AEA/ASSA 2022 (poster), 7th International Young Finance Scholars’ Conference Peking University, Swiss Finance Institute Research Days 2020, HEC Lausanne