Markus Pelger

Stanford University - Department of Management Science & Engineering

Assistant Professor

473 Via Ortega

Stanford, CA 94305-9025

United States

  • Stanford University - Department of Management Science & Engineering

SCHOLARLY PAPERS

35

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420

Scholarly Papers (35)

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1.

Deep Learning in Asset Pricing

Number of pages: 75 Posted: 04 Apr 2019 Last Revised: 05 Aug 2021
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 10,297 (1,105)
Citation 34

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM

2.

Deep Learning Statistical Arbitrage

Number of pages: 75 Posted: 08 Jun 2021 Last Revised: 11 Jan 2024
Jorge Guijarro-Ordonez, Markus Pelger and Greg Zanotti
BlackRock, Inc, Stanford University - Department of Management Science & Engineering and Stanford University, School of Engineering, Management Science & Engineering
Downloads 6,235 (2,546)
Citation 9

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statistical arbitrage, pairs trading, machine learning, deep learning, big data, stock returns, convolutional neural network, transformer, attention, factor model, market efficiency, investment

3.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 60 Posted: 19 Dec 2019 Last Revised: 05 Aug 2023
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 6,190 (2,575)
Citation 51

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

4.

Missing Financial Data

Number of pages: 132 Posted: 13 May 2022 Last Revised: 14 Sep 2024
Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 4,704 (4,183)
Citation 11

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Missing data, firm characteristics, PCA, factor model, big data, asset pricing

5.

Machine-Learning the Skill of Mutual Fund Managers

Downloads 3,740 ( 6,076)
Citation 32

Machine-Learning the Skill of Mutual Fund Managers

Number of pages: 110 Posted: 07 Dec 2021 Last Revised: 07 Aug 2023
Ron Kaniel, Zihan Lin, Markus Pelger and Stijn Van Nieuwerburgh
University of Rochester - Simon Business School, Stanford University, Stanford University - Department of Management Science & Engineering and Columbia University Graduate School of Business
Downloads 3,683 (6,122)

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Mutual fund performance, machine learning, sentiment, big data, neural networks

Machine-Learning the Skill of Mutual Fund Managers

NBER Working Paper No. w29723
Number of pages: 59 Posted: 07 Feb 2022 Last Revised: 09 Jul 2022
Ron Kaniel, Zihan Lin, Markus Pelger and Stijn Van Nieuwerburgh
University of Rochester - Simon Business School, Stanford University, Stanford University - Department of Management Science & Engineering and Columbia University Graduate School of Business
Downloads 57 (739,080)
Citation 32

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6.

Factors That Fit the Time Series and Cross-Section of Stock Returns

Downloads 2,737 ( 9,997)
Citation 17

Factors That Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 61 Posted: 01 Aug 2018 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 2,583 (10,761)
Citation 13

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Cross Section Of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Factors that Fit the Time Series and Cross-Section of Stock Returns

NBER Working Paper No. w24858
Number of pages: 60 Posted: 01 Aug 2018 Last Revised: 04 Jun 2023
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 150 (390,310)
Citation 2

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Factors that Fit the Time Series and Cross-Section of Stock Returns

CEPR Discussion Paper No. DP13049
Number of pages: 62 Posted: 16 Jul 2018 Last Revised: 30 Jul 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 4 (1,260,861)
Citation 2
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

7.

Stripping the Discount Curve — a Robust Machine Learning Approach

Swiss Finance Institute Research Paper No. 22-24, Forthcoming, Management Science
Number of pages: 101 Posted: 15 Mar 2022 Last Revised: 08 Nov 2024
Damir Filipović, Markus Pelger and Ye Ye
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 2,591 (10,900)
Citation 5

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yield curve estimation, U.S. Treasury securities, term structure of interest rates, non-parametric method, machine learning in finance, reproducing kernel Hilbert space

8.

Shrinking the Term Structure

Downloads 1,642 (22,433)
Citation 1

Shrinking the Term Structure

Swiss Finance Institute Research Paper No. 22-61
Number of pages: 82 Posted: 08 Aug 2022 Last Revised: 09 Aug 2024
Damir Filipović, Markus Pelger and Ye Ye
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 1,632 (22,259)
Citation 1

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Term structure of interest rates, bond returns, factor space, U.S. Treasury securities, non-parametric method, principal components, machine learning in finance, reproducing kernel Hilbert space

Shrinking the Term Structure

NBER Working Paper No. w32472
Number of pages: 66 Posted: 21 May 2024
Damir Filipović, Markus Pelger and Ye Ye
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 10 (1,184,846)
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9.

Understanding Systematic Risk: A High-Frequency Approach

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 24 Aug 2015 Last Revised: 23 Mar 2020
Markus Pelger
Stanford University - Department of Management Science & Engineering
Downloads 1,551 (24,495)
Citation 46

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Systematic Risk, High-dimensional Data, High-Frequency Data, Latent Factors, PCA, Jumps, Cross-Section of Returns, Time-Varying Risk, Industry Factors

10.

Asset-Pricing Factors with Economic Targets

Number of pages: 67 Posted: 01 Feb 2023 Last Revised: 01 Oct 2024
Svetlana Bryzgalova, Victor DeMiguel, Sicong Li and Markus Pelger
London Business School - Department of Finance, London Business School, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Stanford University - Department of Management Science & Engineering
Downloads 1,371 (29,386)
Citation 1

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Cross-section of asset returns, portfolio sorts, principal component analysis, shape restrictions, factor identification, latent factors, moment restrictions

11.

Estimating Latent Asset-Pricing Factors

Downloads 1,306 (31,581)
Citation 72

Estimating Latent Asset-Pricing Factors

Number of pages: 45 Posted: 21 May 2018 Last Revised: 13 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 1,228 (33,959)

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Estimating Latent Asset-Pricing Factors

NBER Working Paper No. w24618
Number of pages: 44 Posted: 25 May 2018 Last Revised: 08 Apr 2023
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 77 (631,863)
Citation 64

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Estimating Latent Asset-Pricing Factors

CEPR Discussion Paper No. DP12926
Number of pages: 46 Posted: 15 May 2018 Last Revised: 11 Jun 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 1 (1,295,864)
Citation 8
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

12.

Internet Appendix for Deep Learning in Asset Pricing

Number of pages: 51 Posted: 11 Jun 2020 Last Revised: 11 Sep 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 1,189 (36,145)
Citation 5

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Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM

13.

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Number of pages: 49 Posted: 28 Oct 2019 Last Revised: 11 Jun 2023
Ruoxuan Xiong and Markus Pelger
Emory University and Stanford University - Department of Management Science & Engineering
Downloads 1,057 (42,887)
Citation 4

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Factor Analysis, Principal Components, Synthetic Control, Causal Inference, Treatment Effect, Missing Entry, Large-Dimensional Panel Data, Large N and T, Matrix Completion

14.

Target PCA: Transfer Learning Large Dimensional Panel Data

Journal of Econometrics, accepted
Number of pages: 48 Posted: 27 Dec 2022 Last Revised: 30 Aug 2023
Junting Duan, Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Emory University
Downloads 807 (62,296)
Citation 3

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Factor Analysis, Principal Components, Transfer Learning, Multiple Data Sets, Large-Dimensional Panel Data, Large N and T, Missing Data, Weak Factors, Causal Inference

15.

State-Varying Factor Models of Large Dimensions

Number of pages: 36 Posted: 01 Feb 2018 Last Revised: 15 Oct 2020
Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering and Emory University
Downloads 706 (74,200)
Citation 32

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Factor Analysis, Principle Components, State-Varying, Nonparametric, Kernel-Regression, Large-Dimensional Panel Data, Large N and T

16.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 125 Posted: 25 Mar 2015 Last Revised: 12 May 2018
Markus Pelger
Stanford University - Department of Management Science & Engineering
Downloads 694 (75,824)
Citation 41

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Systematic risk, High-dimensional data, High-frequency data, Latent factor model, PCA, Jumps, Semimartingales, Approximate factor model, Number of factors

17.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 637 (84,466)
Citation 20

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contingent convertibles, bail-in, tail risks, rollover risk

18.

Selective Multiple Testing: Inference for Large Panels with Many Covariates

Number of pages: 70 Posted: 31 Dec 2022 Last Revised: 06 Nov 2024
Markus Pelger and Jiacheng Zou
Stanford University - Department of Management Science & Engineering and Columbia University - Department of Industrial Engineering and Operations Research & Data Science Institute
Downloads 486 (118,305)
Citation 1

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panel data, high-dimensional data, LASSO, number of covariates, post-selection inference, multiple testing, adaptive hypothesis, step-down procedures, factor model

19.

A Simple Method for Predicting Covariance Matrices of Financial Returns

Foundations and Trends in Econometrics
Number of pages: 91 Posted: 27 Dec 2023
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger, Thomas Schmelzer and Stephen Boyd
Stanford University, Stanford University - School of Engineering, Stanford University - Department of Management Science & Engineering, Stanford University and Stanford University - Department of Electrical Engineering
Downloads 478 (120,721)
Citation 1

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20.

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

Number of pages: 89 Posted: 10 May 2012
Markus Pelger
Stanford University - Department of Management Science & Engineering
Downloads 465 (124,732)
Citation 3

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Contingent Convertible Bond, Banking Regulation, Subprime Mortgage Crisis, Structural Model, Corporate Finance, Kou Processes, Jump Diffusion Processes

21.

Interpretable Sparse Proximate Factors for Large Dimensions

Number of pages: 81 Posted: 21 May 2018 Last Revised: 08 Jul 2021
Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering and Emory University
Downloads 423 (139,585)
Citation 7

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Factor Analysis, Principle Components, Sparse Loading, Interpretability, Large-Dimensional Panel Data, Large N and T

22.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

Columbia Business School Research Paper No. 13-90
Number of pages: 49 Posted: 29 Nov 2013 Last Revised: 18 Jun 2015
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 366 (164,335)
Citation 8

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Contingent convertible debt, bail-in debt, capital structure, too big to fail

23.

How Relative Compensation Can Lead to Herding Behavior

Number of pages: 34 Posted: 15 Feb 2013 Last Revised: 22 Dec 2013
An Chen and Markus Pelger
Ulm University - Institute of Insurance Science and Stanford University - Department of Management Science & Engineering
Downloads 271 (226,054)
Citation 2

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relative compensation, management compensation, herding, risk-aversion

24.

Supplemental Appendix - Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin and Pelger, Markus, Supplemental Appendix for "Factors that Fit the Time Series and Cross-Section of Stock Returns”, 2019
Number of pages: 98 Posted: 06 Dec 2019 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 267 (229,447)
Citation 2

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

25.

New Performance-Vested Stock Option Schemes

Applied Financial Economics, Forthcoming
Number of pages: 41 Posted: 29 May 2010 Last Revised: 12 Nov 2012
An Chen, Markus Pelger and Klaus Sandmann
Ulm University - Institute of Insurance Science, Stanford University - Department of Management Science & Engineering and University of Bonn - The Bonn Graduate School of Economics
Downloads 251 (244,057)
Citation 2

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Executive Stock Options, Asian Options, Parisian Options

26.

Internet Appendix for Missing Financial Data

Number of pages: 41 Posted: 16 Mar 2023 Last Revised: 26 Jun 2024
Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 201 (301,809)

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Missing data, firm characteristics, cross-sectional asset pricing, PCA, factor model, big data, asset pricing JEL classification: C14, C38, C55, G12

27.

Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff

Number of pages: 46 Posted: 16 Mar 2022
Jose Blanchet, Fernando Hernandez, Viet-Anh Nguyen, Markus Pelger and Xuhui Zhang
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering, Ecole Polytechnique Federale de Lausanne - MTEI, Stanford University - Department of Management Science & Engineering and Stanford University - Department of Management Science & Engineering
Downloads 195 (310,334)

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Imputation, missing data, look-ahead-bias, Bayesian consensus posterior, Kullback- Leiber divergence, Wasserstein distance, portfolio optimization

28.

Change-Point Testing for Risk Measures in Time Series

Number of pages: 35 Posted: 21 Aug 2023
Lin Fan, Peter Glynn and Markus Pelger
Stanford University, Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 176 (340,448)

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Time Series, Risk Measure, Change-Point Test, Confidence Interval, Self-Normalization, Sectioning, Expected Shortfall, Unsupervised Change Point Detection

29.

Factor Analysis for Causal Inference on Large Non-Stationary Panels with Endogenous Treatment

Number of pages: 110 Posted: 10 Jun 2024
Junting Duan, Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Emory University
Downloads 158 (373,492)

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Factor Analysis, Principal Components, Fixed-Effects, Non-Stationary, Missing Entry, Large-Dimensional Panel Data, Causal Inference, Treatment Effect JEL classification: C14, C38, C55

30.

Optimal Stock Option Schemes for Managers

Forthcoming, Review of Managerial Science
Number of pages: 34 Posted: 18 Jan 2012 Last Revised: 16 Aug 2013
An Chen and Markus Pelger
Ulm University - Institute of Insurance Science and Stanford University - Department of Management Science & Engineering
Downloads 110 (495,769)
Citation 2

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

31.

Optimal Payoff Schemes for Managers (Asymmetric Information Case)

Number of pages: 28 Posted: 18 Jan 2012
An Chen and Markus Pelger
Ulm University - Institute of Insurance Science and Stanford University - Department of Management Science & Engineering
Downloads 96 (545,260)

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

32.

Internet Appendix for State-Varying Factor Models of Large Dimensions

Number of pages: 84 Posted: 08 Dec 2020
Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering and Emory University
Downloads 93 (556,423)

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Factor Analysis, Principal Components, State-Varying, Nonparametric, Kernel- Regression, Large-Dimensional Panel Data, Large N and T

33.

On the Existence of Sure Profits via Flash Strategies

Number of pages: 16 Posted: 08 Aug 2017 Last Revised: 16 Sep 2018
Claudio Fontana, Markus Pelger and Eckhard Platen
University of Padova, Department of Mathematics, Stanford University - Department of Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 92 (560,232)
Citation 3

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Arbitrage, predictable time, semimartingale; high-frequency trading, right-continuity

34.

Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Number of pages: 104 Posted: 14 Jan 2021 Last Revised: 14 Apr 2022
Ruoxuan Xiong and Markus Pelger
Emory University and Stanford University - Department of Management Science & Engineering
Downloads 85 (588,100)
Citation 5

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Factor Analysis, Principal Components, Synthetic Control, Causal Inference, Treatment Effect, Missing Entry, Large-Dimensional Panel Data, Large N and T , Matrix Completion

35.

Internet Appendix for Target PCA: Transfer Learning Large Dimensional Panel Data

Number of pages: 51 Posted: 20 Sep 2023
Junting Duan, Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Emory University
Downloads 33 (896,857)

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Factor Analysis, Principal Components, Transfer Learning, Multiple Data Sets, Large-Dimensional Panel Data, Large N and T , Missing Data, Weak Factors, Causal Inference

Other Papers (1)

Total Downloads: 579
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1.

Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 163 Posted: 13 May 2020 Last Revised: 05 Aug 2023
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 579

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning