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Mathis Mörke
Mathis Mörke
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Option return predictability with machine learning and big data
TG Bali, H Beckmeyer, M Moerke, F Weigert
The Review of Financial Studies 36 (9), 3548-3602, 2023
862023
Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices
A Barbon, H Beckmeyer, A Buraschi, M Moerke
Swiss Finance Institute Research Paper, 2021
14*2021
Credit Variance Risk Premiums
M Ammann, M Moerke
European Financial Management, 2022
62022
Commodity tail risks
M Ammann, M Moerke, M Prokopczuk, CM Würsig
Journal of Futures Markets 43 (2), 168-197, 2023
42023
Machine Forecast Disagreement
TG Bali, BT Kelly, M Moerke, JA Rahman
Available at SSRN 4537501, 2023
32023
Option Factor Momentum
N Käfer, M Mörke, T Wiest
SSRN, 2023
22023
Campbell R. Harvey, Ashwin Ramachandran, Joey Santoro: DeFi and the Future of Finance: Wiley, 2021, 187 pages, USD 26.95, approx. EUR 25, ISBN: 978-1-119-83601-8
M Mörke
Financial Markets and Portfolio Management 37 (3), 347-349, 2023
12023
Marcos López de Prado: Advances in financial machine learning: Wiley, 2018, 400 pp, USD 50.00, approx. EUR 45, ISBN: 978-1-119-48208-6
M Mörke
Financial Markets and Portfolio Management 33, 491-493, 2019
12019
A Bayesian SDF for Equity Options
N Käfer, M Moerke, F Weigert, T Wiest
Available at SSRN, 2024
2024
Andrew W. Lo: Adaptive markets: financial evolution at the speed of thought: Princeton University Press, 2017, 504 pages, USD 37.50, approx. EUR 31, ISBN: 9780691135144
M Mörke
Financial Markets and Portfolio Management 32, 437-439, 2018
2018
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