Factor Investing & Asset Pricing

The dynamic portfolio construction problem requires dynamic modeling of the joint distribution of multivariate stock returns. To achieve this, we propose a dynamic generative factor model which uses random variable transformation as an implicit way of distribution modeling and relies on the Attentio

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and lend

This paper presents a quantitative investment strategy that is capable of producing strong risk-adjusted returns in both up and down markets. The strategy combi

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

One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility risk is a well-studied object in Financial Economics, and em

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

Public procurement is vulnerable to error, fraud and corruption, yet high transaction volumes overwhelm oversight. While research often focuses on tender-stage anomalies, post-award payments remain underexplored. Since labelled datasets are rare and existing methods such as Benford’s Law face restri

I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-section of individual stocks. Using CRSP daily data, each month is summarized by a set of interpretable cross-sectional fragil

We test the hypothesis that consecutive intraday price changes in the most liquid U.S. equity ETF (SPY) are conditionally nonrandom. Using NBBO event-time data for about 1,500 regular trading days, we form for every lag L ordered pairs of a backward price increment (“push”) and a forward price incre

This paper investigates whether large language models (LLMs) can improve cross-sectional momentum strategies by extracting predictive signals from firm-specific news. We combine daily U.S. equity returns for S&P 500 constituents with high-frequency news data and use prompt-engineered queries to Chat

Stock recommendation is critical in Fintech applications, which use price series and alternative information to estimate future stock performance. Although deep learning models are prevalent in stock recommendation systems, traditional time-series forecasting training often fails to capture stock tr

We tackle the challenges of modeling high-dimensional data sets, particularly those with latent low-dimensional structures hidden within complex, non-linear, and noisy relationships. Our approach enables a seamless integration of concepts from non-parametric regression, factor models, and neural net

An empirical analysis, suggested by optimal Merton dynamics, reveals some unexpected features of asset volumes. These features are connected to traders’ belief and risk aversion. This paper proposes a trading strategy model in the optimal Merton framework that is representative of the collective beh

The Japanese real estate market, valued over 35 trillion USD, offers significant investment opportunities. Accurate rent and price forecasting could provide a substantial competitive edge. This paper explores using alternative data variables to predict real estate performance in 1100 Japanese munici

Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One way to do this is by the creation of indices that act as a

The widespread confusion among investors regarding Environmental, Social, and Governance (ESG) rankings assigned by rating agencies has underscored a critical issue in sustainable investing. To address this uncertainty, our research has devised methods that not only recognize this ambiguity but also

It is a well-documented fact that the correlation function of the returns on two “related” assets is generally increasing as a function of the horizon $h$ of these returns. This phenomenon, termed the Epps Effect, holds true in a wide variety of markets, and there is a large body of literature devot

In this paper, we investigate the application of quantum and quantum-inspired machine learning algorithms to stock return predictions. Specifically, we evaluate the performance of quantum neural network, an algorithm suited for noisy intermediate-scale quantum computers, and tensor network, a quantu

We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly tre

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy. Winning asset classes are