6 papers in the archive (2024–2026), average empirical rigor 7.4/10, average math complexity 5.2/10. Quadrant mix: Holy Grail ×3, Philosophers ×1, Street Traders ×2.
Works mostly in Factor Investing & Asset Pricing, Crypto Markets & DeFi, NLP & LLMs in Finance, High-Frequency Trading & Optimal Execution.
Frequent co-authors: Yukun Liu (4), Aleh Tsyvinski (4), Xi Wu (2), Denis Chetverikov (1), Giovanni Bonaccolto (1), Andrea Consiglio (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study 380 trillion tokens of realized AI consumption across more than four hundred LLMs. We build a high-frequency AI factor and show that a long-short strategy based on firms’ AI exposure earns significantly positive returns. The average strategy return is larger based on intensive, frontier-ori
We propose a new non-linear single-factor asset pricing model $r_{it}=h(f_{t}λ_{i})+ε_{it}$. Despite its parsimony, this model represents exactly any non-linear model with an arbitrary number of factors and loadings – a consequence of the Kolmogorov-Arnold representation theorem. It features only o
This paper investigates the dynamic interdependencies between the European insurance sector and key financial markets-equity, bond, and banking-by extending the Generalized Forecast Error Variance Decomposition framework to a broad set of performance and risk indicators. Our empirical analysis, base
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets–risk-adjusted performance so far is broadly comparable, and the cross-section o
The European Union Emission Trading System is a prominent market-based mechanism to reduce emissions. While the theory is well understood, we are the first to study the whole cap-and-trade mechanism as a financial market. Analyzing the universe of transactions in 2005-2020 (more than one million rec
Blockchain is a technological innovation that has the potential to radically change our financial markets by providing an alternative management approach to the “promise market”, which is the foundation of our financial systems. Its disruptive potential also extends to corporate finance, where block