Research

1. Option Return Predictability with Machine Learning and Big Data, with Turan Bali, Mathis Mörke, & Florian Weigert 

Review of Financial Studies, September 2023, Vol. 36 (9)

SSRN Version | Presentation on YouTube | Feature on AlphaArchitect | Feature on LexTechInstitute

presented at 14th Annual Hedge Fund Conference at Imperial College, SFI Research Days 2022, VHB annual meeting 2022, Virtual Derivatives Workshop PhD-Session 2021, BVI-CFR Workshop 2021, Morgan Stanley, Goldman Sachs, Hull Tactical Asset Allocation, Georgetown University, University of Liechtenstein, University of Fribourg

1. A Joint Factor Model for Bonds, Stocks, and Options, with Turan Bali & Amit Goyal

• Recipient of the Jack Treynor Prize 2023 by Q Group

presented at INQUIRE Autumn Seminar 2023 in Hampshire, Esade Spring Workshop 2023, 3rd Annual Bristol Financial Markets Conference, Fidelity Investments, Robeco, University of Basel, University of Hannover, University of Muenster

2. A New Option Momentum - Compensation for Risk, with Ilias Filippou & Guofu Zhou

Feature on AlphaArchitect

presented at the 7th Annual Global Quantitative and Macro Investment Conference by Wolfe Research, FMA 2023, Hong Kong Conference for Fintech, Ai and Big Data in Business, Annual Meeting of the German Finance Association 2023, Hunan University, Human Normal University, Jiangxi University of Finance and Economics, Nanjing University, Renmin University of China, Tongji University, Tsinghua University, University of Muenster, Washington University in St. Louis, Xian Jiaotong University

3. Retail Traders Love 0DTE Options... But Should They?, with Nicole Branger & Leander Gayda

Bloomberg article | wealthmanagement.com article | bonus.com article

presented at IFABS 2023 in Oxford, Annual Meeting of the German Finance Association 2023, University of Muenster

4. All Days Are Not Created Equal: Understanding Momentum by Learning To Weight Past Returns, with Timo Wiedemann | Email me for a draft!

presented at the 16th Annual Conference of the Behavioural Finance Working Group, Annual Meeting of the German Finance Association 2023, University of Muenster

5. Expectations and Attention to Experience, with Ahmed Guecioueur

presented at CICF 2023, FMA Europe 2023, 5th Conference on Behavioral Research in Finance 5th Bamberg Behavioral Macroeconomics Workshop, Applied Young Economist Webinar 2023, 2023 Financial Markets and Corporate Governance Conference, University of Muenster

6. Recovering Missing Firm Characteristics with Attention-Based Machine Learning, with Timo Wiedemann

• Best PhD Paper Award at the 5th Asset Pricing Conference by LTI@UniTo

Download the dataset here | Feature on AlphaArchitect

presented at the Conference on Emerging Technologies in Accounting and Financial Economics 2023, 5th Asset Pricing Conference by LTI@UniTo, Paris December Finance Meeting 2022, NFA PhD Session 2022, Frontiers of Factor Investing 2022, IFABS 2022, International Conference on Economic Modeling and Data Science 2022, VfS Annual Meeting 2022 on Big Data in Economics, Annual Meeting of the German Statistical Society 2022, EEA/ESEM 2022, Hofstra Financial Regulations & Technology Conference 2022, Economics of Financial Technology Conference, Edinburgh 2022, Goethe University Frankfurt

7. Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices, with Andrea Barbon, Andrea Buraschi, & Mathis Mörke

Presentation on YouTube | Financial Times Article | Feature on AlphaArchitect

presented at Canadian Derivatives Institute Conference 2022, WFA 2022, SoFiE Annual Meeting, SFS Cavalcade 2022, Société Générale 2022, Fidelity 2022, Hofstra Financial Regulations & Technology Conference 2022, MFA 2022, 12th Annual Hedge Fund Research Conference, Goldman Sachs STS 2021, AFFI 2021, EFMA 2021, SAFE Microstructure Conference 2021, NFA 2021, FMA 2021, Bank of America Merrill Lynch 2021, Morgan Stanley 2021, FMA Conference on Volatility and Derivatives 2021 Chicago

8. The Short-Duration Premium and News Announcements, with Paul Meyerhof

• Best PhD Paper Award at the Annual Meeting of the Academy of Behavioral Finance & Economics 2022

Feature on AlphaArchitect

presented at the 2023 Financial Markets and Corporate Governance Conference, 14th Annual Hedge Fund Research Conference Dauphine, Paris (Poster), Annual Meeting of the Academy of Behavioral Finance & Economics 2022, Annual Meeting of the German Finance Association 2021

9. Fed Tails: FOMC Announcements and Stock Market Uncertainty, with Nicole Branger, & Thomas Grünthaler

Presentation on YouTube

presented at the EFA Annual Meeting 2022, AEA 2021 Poster Session, AFA 2020 Poster Session,  Canadian Derivatives Institute Conference 2020, Paris December Meeting 2020, SoFiE Shanghai Summer School 2019, Annual Meeting of the German Finance Association 2019, Econometric Society Winter Meeting 2019