I am an Assistant Professor of Finance at the HSE University. My research explores the unique and persistent factors across the discovered set, the role of retail traders' discussions in messengers for asset pricing, and defining luck versus skill in the asset management industry. I have published in the Quarterly Review of Economics and Finance, Finance Research Letters, and PLoS One.
Research interests: Asset Pricing, Portfolio Performance Evaluation, ML in Financial Text Data.
Assistant Professor of Finance,
HSE University, School of Finance
Moscow, Russian Federation,
Pokrosvky bulvar, 11. Room S605.
Email: atomtosov [at] hse [dot] ru
Tomtosov A. (2024). Momentum on historical high. Finance Research Letters. 69, Article 106216. Link
Tomtosov A. (2024). Overlapping portfolio holdings and unique sources of emerging market risk. Borsa Istanbul Review. 24 (1), 201–217. Link
Teplova, T., Tomtosov, A. and Sokolova T. (2022). A retail investor in a cobweb of social networks. PLOS One. 17 (12). Article e0276924. Link
Teplova, T., and Tomtosov, A. (2021). Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets. Quarterly Review of Economics and Finance. 80, 210-223. Link
Tomtosov, A. and Babkin, A. Opportunities Approach to Define Luck versus Skill
Tomtosov, A. Price Location and the Cross-Section of Stocks Returns. Not yet Another Factor
Tomtosov, A. Do Foreign Investors Decrease Predictability of Emerging Markets?