Research

Working papers

• ETF Flows and the Index Effect
• Better Opt Out: Revisiting the Predictive Power of Options-implied Signals with Iman Honarvar
• The Evolving Index Effect: Evidence from Australia
• Causal Network Representations in Factor Investing with Harald Lohre and Bastiaan Mudde
• Beyond GMV: Raising the Bar for Evaluating Covariance Matrix Estimators with M. Sipke Dom, Maarten Jansen, and Harald Lohre

Publications

• 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

Asset management writings

• ML in Asset Management
• GPT in Asset Management

Pages

• SSRN
• Google Scholar