My working papers are in asset pricing, derivatives, commodities, international finance, financial intermediation, household finance, and machine learning for financial markets. Please cite the latest SSRN version when available. For papers without a public SSRN version, please contact me for the most recent draft.
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, Jorge W. Hansen, and Zhaowei Zhang
Conference presentations: Various conferences.
SSRN: https://ssrn.com/abstract=4652113
Topics: gold; gold options; U.S. dollar index; reserve commodity; financialized gold; option prices; Kalman filtering; commodity derivatives.
Contribution: This paper develops an empirical and theoretical framework for understanding the economic drivers of gold prices, volatility, and options, emphasizing gold’s asymmetric inverse dependence on the U.S. dollar index.
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Yuan Hu
SSRN: https://ssrn.com/abstract=4649573
Topics: U.S. dollar; dollar index options; currency options; safe-haven demand; dynamic currency models; option risk premia; international finance.
Contribution: This paper studies options on dollar index futures as traded vehicles for protecting against coordinated U.S. dollar appreciations or depreciations and examines the quantitative implications for dynamic models of currency behavior.
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jinming Xue
SSRN: https://ssrn.com/abstract=3930703
Topics: VIX futures; VIX contango; volatility uncertainty; volatility pockets; Laplace-transform order; rough volatility; disaster risk; volatility derivatives.
Contribution: This paper provides a model-free explanation for why VIX futures are typically in contango during normal markets but shift to backwardation during disruptions, linking the pattern to volatility uncertainty and intertemporal risk perceptions.
Authors: Gurdip Bakshi and Xiaohui Gao
Conference presentations: Philly 5 Conference.
Topics: executive wealth; ultrarich executives; portfolio concentration; household finance; concentrated stock ownership; wealth accumulation; inequality.
Contribution: This paper studies how portfolio concentration among ultrarich executives affects wealth accumulation and may create a wealth-building edge through concentrated exposure to firm-specific and market risks.
Authors: Gurdip Bakshi, Xiaohui Gao, and Zhaowei Zhang
Topics: volatility jumps; option strikes; jump risk; option pricing; derivatives; risk-neutral distributions; volatility modeling.
Contribution: This paper develops a model of volatility jumps crossing option strikes and studies its implications for option pricing, volatility dynamics, and derivative-market risk.
Authors: Gurdip Bakshi and Xiaohui Gao
Topics: U.S. exceptionalism; asset pricing; global financial markets; international finance; safe assets; U.S. markets; risk premia.
Contribution: This paper develops a theoretical asset-pricing account of U.S. exceptionalism and its implications for global financial markets, risk premia, and international capital allocation.
Authors: Gurdip Bakshi and Xiaohui Gao
Topics: 0DTE options; zero-days-to-expiration options; single-jump risk; short-maturity options; option trading; tail risk; derivatives.
Contribution: This paper studies 0DTE options as high-frequency wagers on short-horizon jump risk and examines the implications for short-maturity option pricing and risk-taking.
Authors: Gurdip Bakshi, Timothy Christensen, John Crosby, and Xiaohui Gao
Conference presentations: INFORMS Annual Meeting, Arizona.
SSRN: https://ssrn.com/abstract=4470335
Topics: factor zoo; asset-pricing factors; model selection; cross-sectional returns; factor selection; empirical asset pricing; machine learning.
Contribution: This paper develops a framework for evaluating and selecting among the large number of proposed asset-pricing factors, with the goal of identifying economically meaningful factors from the factor zoo.
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jorge W. Hansen
SSRN: https://ssrn.com/abstract=4986866
Topics: 7DTE options; S&P 500 options; Treasury bond futures options; small-maturity options; safety; bivariate jumps; stochastic jump intensities; VVIX/VIX ratio.
Contribution: This paper develops a model of small-maturity safety phenomena in bond and stock option markets, explaining patterns in out-of-the-money Treasury and equity option returns and the behavior of the VVIX/VIX ratio during market stress.
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao, and Jorge W. Hansen
Conference presentations: 2025 Midwest Finance Association.
SSRN: https://ssrn.com/abstract=4959006
Topics: 7DTE Treasury options; Treasury bond futures; 10-year Treasury futures; 30-year Treasury futures; risk-neutral distributions; return skewness; jump processes; stochastic intensity.
Contribution: This paper introduces data on weekly expiring Treasury options and documents small-maturity effects across tenors, including differences in risk-neutral distributions and return skewness between 10-year and 30-year Treasury bond futures.
Authors: Gurdip Bakshi, Xiaohui Gao, and Zhaowei Zhang
SSRN: https://ssrn.com/abstract=4986862
Topics: cryptocurrencies; crypto returns; cross-sectional asset pricing; machine learning; model selection; factor models; average returns; empirical asset pricing.
Contribution: This paper uses machine-learning techniques to evaluate and improve models of the crypto return cross-section, studying crypto portfolios and factors based on multiple crypto-market characteristics.
Authors: Gurdip Bakshi, Xiaohui Gao, and Yuan Hu
Conference presentations: 8th J.P. Morgan Center for Commodities and Energy Management Symposium; 2025 Eastern Finance Association.
Topics: crude oil; oil options; upside risk; commodity derivatives; energy markets; option pricing; tail risk; oil-market models.
Contribution: This paper studies upside risks in the oil market and examines their implications for models of crude oil prices, oil options, and commodity-market risk premia.
Authors: Gurdip Bakshi, John Crosby, and Xiaohui Gao
Conference presentations: Midwest Finance Association 2022; Eastern Finance Association 2021.
SSRN: https://ssrn.com/abstract=3763550
Topics: exchange rate disconnect; international finance; exchange rates; incomplete markets; stochastic discount factors; currency risk premia; exchange-rate predictability.
Contribution: This paper proposes a measure of exchange rate disconnect and studies how disconnect varies across economies, linking exchange-rate behavior to international asset-pricing restrictions and incomplete-market forces.