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Presentations

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Presentations

Selected Presentations:

Machine-Learning the Skill of Mutual Fund Managers
Video
Seminars: Imperial College London, Oxford
Conferences: NBER Big Data and High-Performance Computing for Financial Economics, SoFiE, Stockholm School of Economics and BI Norwegian Business School Conference, Conference on Emerging Technologies in Accounting and Financial Economies

Stripping the Discount Curve - a Robust Machine Learning Approach
Video
Seminars: Stanford, ETH Zurich, Columbia University, Vienna University, World Online Seminars on Machine Learning in Finance
Conferences: INFORMS, SoFiE Financial Econometrics Summer School, Hong Kong Conference for Fintech, AI, and Big Data in Business

Missing Financial Data
Video
Seminars: UC San Diego, EPF Lausanne
Conferences: NBER Forecasting & Empirical Methods, AEA,CMStatistics, Machine Learning and Quantitative Finance Workshop at Oxford

Deep Learning Statistical Arbitrage
Video
Seminars: UC Berkeley, Stanford, NVIDIA AI Webinar, World Online Seminars on Machine Learning in Finance, Vanguard Academic Seminar
Conferences: NBER-NSF Time-Series Conference, Econometric Research in Finance Workshop, Meeting of the Brazilian Finance Society, INFORMS, Western Conference on Mathematical Finance, Machine Learning and Quantitative Finance Workshop at Oxford, GSU-CEAR Asset Pricing Workshop

Forest Through the Trees
Seminars: Duke, Imperial College London, LBS, Stanford, UC Berkeley, Chicago Booth
Conferences: SFS Cavalcade, Chicago Asset Pricing Conference, Fourth International Workshop on Financial Econometrics, SIAM Conference on Financial Mathematics, Toulouse Financial Econometrics Conference, Adam Smith Junior Workshop, INFORMS

Deep Learning in Asset Pricing
VideoDiscussionPoster
Seminars: UC Berkeley, Yale, Stanford, Washington University in St, Louis, Temple University, Imperial College London, University of Zurich, UCLA, Bremen University, Santa Clara University, King's College London, 
Conferences: Utah Winter Finance Conference, GSU-RSF FinTech Conference, New Technology in Finance Conference, Fourth International Workshop on Financial Econometrics, LBS Finance Summer Symposium, SIAM Conference on Financial Mathematics, Western Mathematical Finance, INFORMS, AI in FinTech Forum, GEA Annual Meeting, Triangle Macro-Finance Workshop, CMStatistics, Shanghai Edinburgh Fintech Conferene, Annual NLP and Machine Learning in Investment Management Conference, Annual Conference on Asia-Pacific Financial Markets, European Winter Meeting of the Econometric Society, AI in Asset Management Day, Winter Research Conference on Machine Learning and Business, French Association of Asset and Liability Manager Conference, Midwest Finance Association Annual Meeting, Annual Meeting of the Swiss Society for Financial Market Research, Society for Financial Econometrics Annual Conference, China Meeting of the Econometric Society

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
Seminars: MIT, Stanford, University of Chicago Booth, Cornell, Cornell Tech, Columbia University, USC Marshall, USC ISE, Boston University, Toronto, Emory, Minnesota, University of Florida, University of British Columbia
Conferences: INFORMS, Marketplace Innovation Workshop

Estimating Latent Asset-Pricing Factors
Seminars: Stanford University, Columbia University, University of Chicago, UC Berkeley, ETH Zurich, Boston University, University of Bonn, Humboldt University Berlin, UC Santa Barbara, University of Toronto, University of Frankfurt, Rutgers University, University of Ulm, BlackRock
Conferences: NBER-NSF Time-Series, NBER-NSF SBIES, SoFiE, Western Mathematical Finance, INFORMS, AI in FinTech Forum, Machine-Learning in Finance Workshop

Factors that Fit the Time-Series and Cross-Section of Stock Returns
Seminars: Stanford, UC Berkeley, ETH Zurich, University of Frankfurt, Heidelberg University
Conferences: SFS Cavalcade, NBER Asset Pricing, GEA, AFA Annual Meeting, SITE

Large Dimensional Factor Modeling based on High-Frequency Observations
Poster
Seminars: UC Berkeley, Stanford University, University of Pennsylvania, UC Santa Cruz, Chinese University of Hong Kong
Conferences: NBER-NSF Time-Series, SoFiE, Financial Engineering and Risk Management Symposium, Bachelier, SIAM Conference on Financial Mathematics, Stevanovich Center Conference on High-Frequency Data, INFORMS, European Winter Meeting of the Econometric Society, International Conference on Computational and Financial Econometrics

State-Varying Factor Models of Large Dimensions
Conferences: NBER-NSF Time-Series, SoFiE, European Meeting of the Econometric Society, North American Summer Meeting of the Econometric Society, INFORMS, Western Mathematical Finance Conference

Interpretable Sparse Proximate Factors for Large Dimensions
Poster
Seminars: Columbia University
Conferences: NBER-NSF Time-Series, SoFiE, California Econometrics Conference, SoFiE Summer School on Machine Learning and Empirical Asset Pricing, INFORMS

Contingent Capital, Tail Risk and Debt-Induced Collapse
Seminars: Stanford, UC Berkeley, University of Bonn, University of Freiburg
Conferences: AEA Annual Meeting, Western Finance Association Conference, INFORMS

Change-Point Testing and Estimation for Risk Measures in Time Series
Conferences: NBER-NSF Time-Series