Research

Better Opt Out: Revisiting the Predictive Power of Options-implied Signals with Iman Honarvar forthcoming in the Journal of Portfolio Management.
Causal Network Representations in Factor Investing with Harald Lohre and Bastiaan Mudde forthcoming in Intelligent Systems in Accounting, Finance and Management.
Beyond GMV: Raising the Bar for Evaluating Covariance Matrix Estimators with M. Sipke Dom, Maarten Jansen, and Harald Lohre in Quantitative Finance. SSRN Link
Low Risk Alpha Without Low Beta in the Journal of Portfolio Management. SSRN Link
Choices Matter When Training Machine Learning Models for Return Prediction in the Financial Analysts Journal. SSRN Link
3D Investing: Jointly Optimizing Return, Risk, and Sustainability with David Blitz, Mike Chen, and Harald Lohre forthcoming in the Financial Analysts Journal. SSRN Link
PhD thesis:The Battle of the Models: Modern Takes on Traditional and Machine Learning Techniques in Empirical Finance
The Term Structure of Machine Learning Alpha with David Blitz, Matthias Hanauer, and Tobias Hoogteijling in the Journal of Financial Data Science. SSRN Link
Proper Orthogonal Decomposition (POD) analysis of CFD data for flow in an axisymmetric sudden expansion with Sushen Gupta, Ali Abbas, Timothy A.G. Langrish, and David F. Fletcher in Chemical Engineering Research and Design