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)
LASSO+SFA and Xistence of Inefficiency
(with Valentin Zelenyuk and Chris Parmeter, EWEPA24 slides, 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; SoFiE slides)
Improved Semiparametric Bounds for Tail Probability and Expected Loss: Theory and Applications
(with Erick Li, ISNPS slides)
Early Warning Systems for Financial Markets of Emerging Economies
(with Artem Kraevskiy and Evgeniy Sokolovskiy, ISF slides)