Journal Article
Empirical Asset Pricing via Machine Learning
October 17, 2018
We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.
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Can Machines "Learn" Finance?
June 7, 2019
The early evidence hints that machine learning tools can potentially improve investment portfolios. Application of machine learning techniques is a natural evolution for investment research, and one that will continue to be explored.
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Hedging Climate Change News
May 22, 2019
We propose and implement a procedure to dynamically hedge climate change risk and discuss multiple directions for future research on financial approaches to managing climate risk.
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Autoencoder Asset Pricing Models
May 22, 2019
We propose a new latent factor conditional asset pricing model, which delivers out-of-sample pricing errors that are far smaller (and generally insignificant) compared to other leading factor models.
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A Data Science Solution to the Multiple-Testing Crisis in Financial Research
February 1, 2019
In this paper, we present a real example of how multiple testing information can be reported. We use that information to estimate the Deflated Sharpe Ratio of an investment strategy.
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