Research
Working papers and publications.
Working papers
- ETF Flows and the Index Effect — working paper · 2024
- The Evolving Index Effect: Evidence from Australia — working paper · 2024
Publications
- Better Opt Out? Revisiting the Predictive Power of Options-Implied Signals — The Journal of Portfolio Management · 2025 · with Iman Honarvar · SSRN
- Causal Network Representations in Factor Investing — Intelligent Systems in Accounting, Finance and Management · 2025 · with Harald Lohre and Sebastiaan Mudde
- Beyond GMV: The Relevance of Covariance Matrix Estimation for Risk-Based Portfolio Construction — Quantitative Finance · 2025 · with M. Sipke Dom, Maarten Jansen, and Harald Lohre · SSRN
- Low-Risk Alpha without Low Beta — The Journal of Portfolio Management · 2024 · SSRN
- Choices Matter When Training Machine Learning Models for Return Prediction — Financial Analysts Journal · 2024 · SSRN
- 3D Investing: Jointly Optimizing Return, Risk, and Sustainability — Financial Analysts Journal · 2024 · with David Blitz, Mike Chen, and Harald Lohre · SSRN
- The Battle of the Models: Modern Takes on Traditional and Machine Learning Techniques in Empirical Finance — PhD thesis · 2023
- The Term Structure of Machine Learning Alpha — The Journal of Financial Data Science · 2023 · with David Blitz, Matthias Hanauer, and Tobias Hoogteijling · SSRN
- Proper Orthogonal Decomposition Analysis of CFD Data for Flow in an Axisymmetric Sudden Expansion — Chemical Engineering Research and Design · 2017 · with Sushen Gupta, Ali Abbas, Timothy A.G. Langrish, and David F. Fletcher