🏆 Thrilled that our paper, "What If Option Closing Prices Were Trustworthy? A Machine Learning Approach," won the Best Paper in Derivatives Award! Link: papers.ssrn.com/sol3/papers.cf… Thread 🧵 🔍 Options lack a robust mechanism for closing prices. How can we solve this? (1/N)

My paper with Richard Evans and Marc Lipson is now published online: “Mutual fund performance and manager assets: The negative effect of outside holdings” onlinelibrary.wiley.com/doi/10.1111/fi…

New Seminar! Today, Miguel Ángel Cabello Peréz, PhD in Economics by Universidad Carlos III, presents a paper entitled "Robust Estimation of non-Gaussian Dimension in Structural Linear Systems (SVARMA) models". #SeminarCUNEF

I am actively recruiting excellent researchers who are willing to apply for the Marie Skłodowska-Curie Actions (MSCA) European Fellowship, funded by the European Commission, to work on enhancing the #Transparency of #AI. 👇 cbs.dk/files/cbs.dk/m… Deadline: Feb 16

Classical p-values and the Bayesian posterior probability that the hypothesis is approximately true dlvr.it/T2rtQz

🚨My paper "Missing values handling for machine learning portfolios" (w/ Jack McCoy) is accepted Journal of Financial Economics!🚨 No one likes imputing missing data. But in ML you are often forced to impute. We provide guidance for imputation based on three facts about return predictors🧵

The first article in the FM Spring 2024 issue is "Mutual fund performance and manager assets: The negative effect of outside holdings" by Richard Evans, Javier Gil-Bazo, and Marc Lipson. ow.ly/sbQN50QRg3G #Finance

Dynamic Learning Rate Adjustments in Maximum Likelihood Estimation: A Case Study with PyTorch and… medium.com/@andreportela/…

Kicking off with #CodeChella CUNEF Universidad

We are hiring a L/SL in Business Analytics to join our team at the University of Edinburgh Business School. We are particularly interested in hearing from candidates with expertise in Predictive and AI Analytics shorturl.at/GLBoU

"A random half of panelists were shown a CV and only a one-paragraph summary of the proposed research, while the other half were shown a CV and a full proposal. We find that withholding proposal texts from panelists did not detectibly impact rankings." link.springer.com/article/10.100…

Creo que ha llegado el momento de dejar de hacerse trampas al solitario. La "hucha" de las pensiones se acabó hace tiempo. Ahora tenemos un sistema deficitario y hay que hablar, de forma realista, sobre cómo ir cerrando ese déficit.

My book is out! Generative AI and ChatGPT in Financial Forecasting a.co/d/03rJBmcX

Brasil 😍

Comparing Factor Models with Price-Impact Costs, with Sicong (Allen) Li and Alberto Martín-Utrera, accepted (pending uploads) to Journal of Financial Economics. Grateful to editor Nikolai Roussanov and an outstanding referee who helped us greatly improve our empirical contribution: papers.ssrn.com/sol3/papers.cf…

If you are interested in working with me at INSPER as a postdoc in the city of São Paulo, Brazil, please apply to this position. Time Series, Wavelets, High Dimensional Data and Applications - POST-DOCTORAL FELLOWSHIPS AVAILABLE - Academic Positions academicpositions.com/ad/university-…

'Interpretable algorithmic fairness in structured and unstructured data', by Hari Bandi, Dimitris Bertsimas, Thodoris Koukouvinos, Sofie Kupiec. jmlr.org/papers/v25/23-… #bias #fairness #classification

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This!