Research
Research
Option Return Predictability with Machine Learning and Big Data, with Turan G. 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 CFA Society Germany Webinar Series, 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
Journal of Banking and Finance, Forthcoming
Best PhD Paper Award at the Annual Meeting of the Academy of Behavioral Finance & Economics 2022
SSRN Version | Feature on AlphaArchitect
presented at the 2023 Financial Markets and Corporate Governance Conference, 14th Annual Hedge Fund Research Conference Dauphine in Paris (Poster), Annual Meeting of the Academy of Behavioral Finance & Economics 2022, Annual Meeting of the German Finance Association 2021
Intraday Option Reversals: Return Predictability and Market Efficiency, with Ilias Filippou, Goufu Zhou, & Zhaoque (Chosen) Zhou
Unusual Financial Communication, with Lars Beckmann, Ilias Filippou, Stefan Menze & Goufu Zhou
Finalist for the 2025 Crowell Prize by PanAgora
presented at 6th Conference on Nontraditional Data, Machine Learning, and Natural Language Processing in Macroeconomics, INQUIRE UK Autumn Seminar 2024, FMA Annual Meeting 2024, CICF 2024, Generative AI in Finance Symposium (Duisburg, 2024), Research in Behavioral Finance Conference 2024, Generative AI in Finance Workshop (Dresden, 2024), FMA Asia/Pacific 2024, IBEFA Summer Meeting 2024, 16th Annual Imperial College London Hedge Fund Conference, Wolfe Research Global NLP and Machine Learning in Investment Management Conference 2024, FMA Europe 2024, Shanghai Jiaotong University, Tsinghua University, University of Calgary, University of Münster, Washington University in St. Louis, Xi’an Jiaotong-Liverpool University, Xiamen University, York University, Zhejiang University, PanAgora Asset Management, Quoniam, Santander
Recipient of the 2023 Jack Treynor Prize by Q Group
presented at 2025 Workshop of the Theory-based Empirical Asset Pricing Research Network (TBEAR), Paris December Finance Meeting 2024, FMA Annual Meeting 2024, Q Group Spring Seminar 2024, Annual Meeting of the Swiss Finance Association 2024, INQUIRE Autumn Seminar 2023 in Hampshire, Esade Spring Workshop 2023, 3rd Annual Bristol Financial Markets Conference, Fidelity Investments, Robeco, University of Basel, University of Bremen, University of Cologne, University of Hannover, University of Muenster
presented at Annual Meeting of the German Finance Association 2024, FMA Europe 2024
Best Paper Award at the 2024 INQUIRE UK/Europe Joint Spring Seminar in Southampton
Best Paper Award at the 2024 FMA Asset Management Consortium
presented at the EFA 2024, INQUIRE Europe/UK Joint Spring 2024, FMA Consortium on Asset Management 2024, 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, Qube RT Academy, Hunan University, Hunan 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
Bloomberg article | feature by ft | wealthmanagement.com article | bonus.com article
presented at FMA/Cboe Conference on Derivatives and Volatility 2024, FMA Annual Meeting 2024, FMA Europe 2024, 2nd Structured Retail Products and Derivatives Conference, Frontiers of Factor Investing Conference 2024, MFA Annual Meeting 2024, IFABS 2023 in Oxford, Annual Meeting of the German Finance Association 2023, University of Muenster, Morgan Stanley
All Days Are Not Created Equal: Understanding Momentum by Learning To Weight Past Returns, with Timo Wiedemann | Coming soon.
Finalist for the 2025 Crowell Prize by PanAgora
presented at the FMA Annual Meeting 2024, 16th Annual Conference of the Behavioural Finance Working Group, Annual Meeting of the German Finance Association 2023, University of Muenster, PanAgora Asset Management, Quoniam
presented at Research in Behavioral Finance Conference 2024, Helsinki Finance Summit 2024 (Poster), 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
Best PhD Paper Award at the 5th Asset Pricing Conference by LTI@UniTo
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
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
Fed Tails: FOMC Announcements and Stock Market Uncertainty, with Nicole Branger, & Thomas Grünthaler
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