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Markus Pelger
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Deep learning in asset pricing
L Chen, M Pelger, J Zhu
Management Science 70 (2), 714-750, 2024
4392024
Factors that fit the time series and cross-section of stock returns
M Lettau, M Pelger
The Review of Financial Studies 33 (5), 2274-2325, 2020
2362020
Estimating latent asset-pricing factors
M Lettau, M Pelger
Journal of Econometrics 218 (1), 1-31, 2020
1602020
Forest through the trees: Building cross-sections of stock returns
S Bryzgalova, M Pelger, J Zhu
Available at SSRN 3493458, 2020
1462020
Large-dimensional factor modeling based on high-frequency observations
M Pelger
Journal of Econometrics 208 (1), 23-42, 2019
1152019
Understanding systematic risk: A high‐frequency approach
M Pelger
The Journal of Finance 75 (4), 2179-2220, 2020
1012020
Contingent capital, tail risk, and debt-induced collapse
N Chen, P Glasserman, B Nouri, M Pelger
The Review of Financial Studies 30 (11), 3921-3969, 2017
852017
State-varying factor models of large dimensions
M Pelger, R Xiong
Journal of Business & Economic Statistics 40 (3), 1315-1333, 2022
602022
CoCos, bail-in, and tail risk
N Chen, P Glasserman, B Nouri, M Pelger
562013
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
R Xiong, M Pelger
Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3465357, 2019
54*2019
Textgnn: Improving text encoder via graph neural network in sponsored search
J Zhu, Y Cui, Y Liu, H Sun, X Li, M Pelger, T Yang, L Zhang, R Zhang, ...
Proceedings of the Web Conference 2021, 2848-2857, 2021
492021
Machine-learning the skill of mutual fund managers
R Kaniel, Z Lin, M Pelger, S Van Nieuwerburgh
Journal of Financial Economics 150 (1), 94-138, 2023
472023
Missing financial data
S Bryzgalova, S Lerner, M Lettau, M Pelger
Available at SSRN 4106794, 2022
372022
Deep Learning Statistical Arbitrage
J Guijarro-Ordonez, M Pelger, G Zanotti
Available at SSRN 3862004, 2021
302021
Interpretable sparse proximate factors for large dimensions
M Pelger, R Xiong
Journal of Business & Economic Statistics 40 (4), 1642-1664, 2022
252022
Contingent convertible bonds: pricing, dilution costs and efficient regulation
M Pelger
Dilution Costs and Efficient Regulation (May 7, 2012), 2012
15*2012
Stripping the discount curve-a robust machine learning approach
D Filipović, M Pelger, Y Ye
Swiss Finance Institute Research Paper, 2022
112022
Target PCA: Transfer learning large dimensional panel data
J Duan, M Pelger, R Xiong
Journal of Econometrics, 105521, 2023
82023
Sure profits via flash strategies and the impossibility of predictable jumps
C Fontana, M Pelger, E Platen
Quantitative Finance Research Centre, University of Technology, Sydney …, 2017
7*2017
New performance-vested stock option schemes
A Chen, M Pelger, K Sandmann
Applied Financial Economics 23 (8), 709-727, 2013
72013
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Articles 1–20