Research

Machine learning for factor investing (with T. Guida) - CRC Chapman Hall expected September 2020

Website: http://www.mlfactor.com

Order: Publisher website, Amazon UK, Amazon France

FINANCE & ECONOMICS (academic journals)

Stock-specific sentiment and return predictability, Quantitative Finance, Forthcoming
Procedural Rationality, Asset Heterogeneity and Market Selection, Journal of Mathematical Economics, Vol. 82 (2019), pp. 125-149 (with B. Tavin) [Link] [WP]
Empirical properties of a heterogeneous agent model in large dimensions, Journal of Economic Dynamics & Control, Vol. 77 (2017), pp. 180-201 [Link]
Characteristics-based portfolio choice with leverage constraints, Journal of Banking and Finance, Vol. 70 (2016), pp. 23-37 (with M. Ammann and J-P. Schade) [Link]
An investigation of model risk in a market with jumps and stochastic volatility, European Journal of Operational Research, Vol. 253 (2016), pp. 648-658 (with B. Tavin) [Link]
Diversified minimum-variance portfolios, Annals of Finance, Vol. 11, No. 2 (2015), pp. 221-241 [Link]
Lookback option prices under a spectrally negative tempered-stable model, International Journal of Theoretical and Applied Finance, Vol. 16, No. 3 (2013) [Link]

DATA SCIENCE, PROBABILITY & STATISTICS (academic journals)

Training trees on tails with applications to portfolio choice, Annals of Operational Research, Forthcoming (with T. Guida), [Link]
Approximate NORTA simulations for virtual sample generation, Expert Systems With Applications, Vol. 73 (2017), pp. 69-81 [Link]
On the distribution of the supremum of the spectrally negative stable process with drift, Statistics & Probability Letters, Vol. 107 (2015), pp. 333-340 [Link]
Second order risk aggregation with the Bernstein copula, Insurance: Mathematics and Economics, Vol. 58 (2014), pp. 150-158 [Link]
Meromorphic Lévy-Khintchine exponents with poles of order two, Communications on Stochastic Analysis, Vol. 7, No. 2 (2013), pp. 179-198 [PDF]
Approximation of probabilistic Laplace transforms and their inverses, Communications in Applied Mathematics and Computational Science, Vol. 7, No. 2 (2012), pp. 231–246 [Link]

WINE BUSINESS (academic journals)

Herding behavior among wine investors, Economic Modelling, Vol. 68 (2018), pp. 318-328 (with B. Aytac and C. Mandou) [Link]
Optimal wine pricing for restaurants, Journal of Wine Economics, Vol. 10, No. 2 (2015), pp. 204-224 [Link]

FINANCE (practitioner journals)

Machine learning in systematic equity allocation: a model comparison, Wilmott Magazine, Vol. 2018, Issue 98 (2018), pp. 24–33 (with T. Guida) [Link]
Equity portfolios with improved liability-hedging benefits, Journal of Portfolio Management, Vol. 43, No. 2 (Winter 2017), pp. 37-49 (with L. Martellini and V. Milhau) [Link]

Ensemble learning applied to quant equity: gradient boosting in a multifactor framework, In Big Data and Machine Learning in Quantitative Investment, 2018 (with T. Guida)

Estimation of covariance matrices for portfolio optimization (with V. Milhau) - Scientific Beta Research Paper [PDF]
Equity portfolios with improved liability-hedging benefits - Long Version (with R. Deguest, L. Martellini and V. Milhau) [PDF]
Risk aggregation with the generalized logistic distribution [PDF]
Pricing exotic options in the Finite Moment Log-Stable model [PDF]

Exotic options, infinitely divisible distributions and Lévy processes: theoretical and applied perspectives [PDF]