(2026)
Semi-parametric machine learning for stock option pricing and the role of firm characteristics.
OPERATIONAL RESEARCH.
1,
1
(2026)
Bimodality Everywhere: International Evidence of Deep Momentum.
JOURNAL OF BANKING & FINANCE.
1,
1
(2026)
Momentum in the Cryptocurrency Market: A Comprehensive Analysis under Realistic Assumptions.
Review of Asset Pricing Studies.
1,
1
(2026)
Mispricing and correction in short-term returns.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS.
116,
1
(2025)
Predicting Stock Jumps and Crashes Using Options.
JOURNAL OF FUTURES MARKETS.
45,
10
(2023)
Pairs trading via unsupervised learning.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH.
307,
2
(2022)
Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning.
MANAGEMENT SCIENCE.
68,
10
(2022)
Betting against analyst target price.
JOURNAL OF FINANCIAL MARKETS.
59,
1
(2022)
A geometric framework for covariance dynamics.
JOURNAL OF BANKING & FINANCE.
134,
1
(2021)
A machine learning approach for the short-term reversal strategy.
Journal of Data Science and Analysis.
7,
6
(2021)
Bimodal characteristic returns and predictability enhancement via machine learning.
MANAGEMENT SCIENCE.
68,
10
(2020)
Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS.
55,
1
(2020)
A nonparametric approach to portfolio shrinkage.
JOURNAL OF BANKING & FINANCE.
120,
1
(2020)
How Much should portfolios be shrunk?.
FINANCIAL MANAGEMENT.
49,
3
(2017)
Deep learning networks for stock market analysis and prediction: methodology, data representations, and case studies.
EXPERT SYSTEMS WITH APPLICATIONS.
83,
1
(2017)
Geometric treatment of time-varying volatilities.
Review of Quantitative Finance and Accounting.
49,
4
(2017)
Partial structural break identification.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS.
79,
2
(2016)
Modeling severity risk under PD-LGD correlation.
EUROPEAN JOURNAL OF FINANCE.
23,
15
(2015)
Impacts of derivative markets on spot market volatility and their persistence.
APPLIED ECONOMICS.
47,
22
(2015)
Market overreaction and investment strategies.
APPLIED ECONOMICS.
47,
54
