Working Papers

Bayesian Adaptive Sparse Copula

(with Martin Burda)

Optimal Bundling Strategies for Complements and Substitutes under Heavy-Tailed Dependent Valuations

(with Rustam Ibragimov and Johan Walden)

Dynamically Time Warped Cointegration

(with Giuseppe Cavaliere and Anton Skrobotov) 

Machine Learning and Stochastic Frontier Analysis

(with Valentin Zelenyuk and Chris Parmeter,  Drexel slides, CFE slides, talk-part-1, talk-part-2)

Improved Multi-Armed Bandit Bounds 

(with Rustam Ibragimov and Alexander Semenov)

Bi-Objective Cost-Sensitive Machine Learning: Predicting Stock Return Direction Using Option Prices

(with Robert James and Jessica Leung)

Improved Semiparametric Bounds for Tail Probability and Expected Loss: Theory and Applications

(with Erick Li)

Early Warning Systems for Financial Markets of Emerging Economies

(with Artem Kraevskiy and Evgeniy Sokolovskiy)