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Presentations

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Selected Presentations:

  • Shrinking the Term Structure
    Paper, Slides
    Seminars: Stanford
    Conferences: European Finance Association Annual Meeting, Conference on Computational and Financial Econometrics 
     
  • Stripping the Discount Curve - a Robust Machine Learning Approach
    Paper, Slides, Video
    Seminars: Stanford, Yale, ETH Zurich, Columbia University, Vienna University, World Online Seminars on Machine Learning in Finance, European Investment Bank, Houston, Federal Reserve Bank Dallas, NVIDIA AI Webinar  
    Conferences: INFORMS, SoFiE Financial Econometrics Summer School, Hong Kong Conference for Fintech, AI, and Big Data in Business, Machine Learning in Finance Conference at Oxford, Western Conference on Mathematical Finance, Bachelier Finance Society World Congress 
     
  • Deep Learning Statistical Arbitrage
    Paper, Slides, Video
    Seminars: UC Berkeley, Stanford, Columbia University, NYU Stern, Rutgers University, Peking University, Stony Brook, NVIDIA AI Webinar, World Online Seminars on Machine Learning in Finance, Vanguard Academic Seminar 
    Conferences: NBER-NSF Time-Series Conference, AI in Fintech Forum, SoFiE, 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, World Congress of the Bachelier Finance Society, Bloomberg-Columbia Machine Learning in Finance Workshop  
     
  • Causal Inference for Large Dimensional Non-Stationary Panels with Two-Way Endogenous Treatment
    Slides
    Seminars: Stanford
    Conferences: American Economic Association Annual Meeting, Causal Science 2023 Conference
     
  • Spanning the Option Price Surface
    Slides
    Seminars: Stanford
    Conferences: Western Conference on Mathematical Finance
     
  • Target-PCA: Transfer Learning Large Dimensional Panel Data
    Paper, Slides
    Seminars: Stanford, Rochester, Oxford
    Conferences: NBER-NSF Time-Series Conference, California Econometrics Conference, SoFiE, North American Meeting of the Econometric Society 
     
  • Asset-Pricing Factors with Economic Targets
    Paper, Slides
    Seminars: London Business School, Universite Catholique de Louvain 
    Conferences: American Finance Association Annual Meeting, Western Finance Association Annual Meeting, European Finance Association Annual Meeting, Conference on Computational and Financial Econometrics, INFORMS, SoFiE, Machine Learning and Financial Econometrics Conference at Oxford 
     
  • Inference for Large Panels with Many Covariates
    Paper, Slides
    Seminars: Stanford
    Conferences: NBER-NSF SBIES Conference, California Econometrics Conference, North American Meeting of the Econometric Society, Asian Meeting of the Econometric Society, Western Conference on Mathematical Finance, INFORMS
     
  • Missing Financial Data
    Paper, Slides, Video
    Seminars: UC San Diego, EPF Lausanne, Maryland, Shanghai Advanced Institute of Finance, London Business School, Stanford, Technical University of Munich, NVIDIA AI Webinar, AI and Big Data in Finance Research Forum  
    Conferences: NBER Asset Pricing Meeting, NBER Big Data and Securities Markets Conference, NBER Forecasting & Empirical Methods, NBER-NSF Time-Series Conference, American Finance Association Annual Meeting, American Economic Association Annual Meeting, European Finance Association Annual Meeting, SFS Cavalcade North America, Machine Learning and Quantitative Finance Workshop at Oxford, SoFiE, RCEA Big Data and Machine Learning Conference, California Econometrics Conference, Hong Kong Conference for Fintech, AI and Big Data in Business, German Economists Abroad Conference, CMStatistics, International Conference on Computational and Financial Econometrics, Brandes Center, NVIDIA, PanAgora Asset Management, Schroders Asset Management 
     
  • Machine-Learning the Skill of Mutual Fund Managers
    Paper, Slides, Video
    Seminars: Imperial College London, Oxford 
    Conferences: NBER Big Data and High-Performance Computing for Financial Economics, SoFiE, BI-SHoF Conference, Conference on Emerging Technologies in Accounting and Financial Economies, Western Finance Association Conference  
     
  • Forest Through the Trees: Building Cross-Sections of Stock Returns
    Paper, Slides
    Seminars: Duke, Imperial College London, London Business School, Stanford, UC Berkeley, Chicago Booth, UBC Sauder, Rice University, Purdue University, Singapore Managment University, University of Edinburgh, Two Sigma 
    Conferences: SFS Cavalcade, American Finance Association Annual Meeting, Chicago Asset Pricing Conference, Fourth International Workshop on Financial Econometrics, SIAM Conference on Financial Mathematics, Toulouse Financial Econometrics Conference, Adam Smith Junior Workshop, INFORMS, European Finance Association Annual Meeting, Yale Junior Finance Conference, Machine Learning Day at Georgetown, Conference on Computational and Financial Econometrics  
     
  • Deep Learning in Asset Pricing
    Paper, Slides, VideoDiscussion
    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 Conference, 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, NBER-NSF Time-Series Conference  
     
  • Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
    Paper, Slides
    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, University of Illinois, Stony Brook, Florida University, Chinese University of Hong Kong, Singapore Management University 
    Conferences: NBER-NSF Time-Series Conference, INFORMS, Marketplace Innovation Workshop 
     
  • Estimating Latent Asset-Pricing Factors
    Paper, Slides
    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, UC Irvine, 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
    Paper, Slides
    Seminars: Harvard, MIT, Stanford, UC Berkeley, ETH Zurich, University of Frankfurt, Heidelberg University, Toronto, Boston, Humboldt University 
    Conferences: SFS Cavalcade, NBER Asset Pricing, American Finance Association Annual Meeting, NBER-NSF SBIES, SoFIE, SITE, German Economists Abroad Conference  
     
  • Large Dimensional Factor Modeling based on High-Frequency Observations
    Paper, Slides
    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
    Paper, Slides
    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, SIAM Conference on Financial Mathematics and Engineering 
     
  • Interpretable Sparse Proximate Factors for Large Dimensions
    Paper, Slides
    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
    Paper, Slides
    Seminars: Stanford, UC Berkeley, University of Bonn, University of Freiburg, EPFL Lausanne,  
    Conferences: American Finance Association Annual Meeting, Western Finance Association Conference, INFORMS, Cleveland Fed Capital Requirements Conference, Chicago Fed Bank Structure Conference, FDIC Derivatives and Risk Management Conference, Federal Reserve Board Finance Forum  
     
  • Change-Point Testing and Estimation for Risk Measures in Time Series 
    Paper
    Conferences: NBER-NSF Time-Series