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)