Markus Pelger

Stanford University - Department of Management Science & Engineering

Assistant Professor

473 Via Ortega

Stanford, CA 94305-9025

United States

SCHOLARLY PAPERS

27

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23,735

SSRN CITATIONS
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Top 5,418

in Total Papers Citations

176

CROSSREF CITATIONS

69

Scholarly Papers (27)

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 6,883 (1,436)
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.

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

Number of pages: 59 Posted: 19 Dec 2019 Last Revised: 20 Sep 2021
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 2,854 (6,422)
Citation 18

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

3.

Deep Learning Statistical Arbitrage

Number of pages: 66 Posted: 08 Jun 2021 Last Revised: 07 Jul 2022
Stanford University - Department of Mathematics, Stanford University - Department of Management Science & Engineering and Stanford University, School of Engineering, Management Science & Engineering
Downloads 2,369 (8,556)

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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

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 1,514 (17,200)
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 2022
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 73 (442,906)
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 2 (916,279)
Citation 2
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

Machine-Learning the Skill of Mutual Fund Managers

Number of pages: 71 Posted: 07 Dec 2021 Last Revised: 06 Jul 2022
University of Rochester - Simon Business School, Stanford University, Stanford University - Department of Management Science & Engineering and Columbia University Graduate School of Business
Downloads 1,381 (19,791)

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Mutual fund performance, fund flow, momentum, 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
University of Rochester - Simon Business School, Stanford University, Stanford University - Department of Management Science & Engineering and Columbia University Graduate School of Business
Downloads 6 (864,585)
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6.

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 984 (32,953)
Citation 14

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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

7.

Stripping the Discount Curve - a Robust Machine Learning Approach

Swiss Finance Institute Research Paper No. 22-24
Number of pages: 74 Posted: 15 Mar 2022 Last Revised: 05 Aug 2022
Damir Filipović, Markus Pelger and Ye Ye
Ecole Polytechnique Fédérale de Lausanne, Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 926 (36,023)

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

8.

Missing Financial Data

Number of pages: 80 Posted: 13 May 2022
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 833 (41,944)

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

9.
Downloads 820 ( 42,572)
Citation 15

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 794 (43,826)

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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 2022
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 25 (684,144)
Citation 7

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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 (932,912)
Citation 8
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

10.

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

Number of pages: 49 Posted: 28 Oct 2019 Last Revised: 14 Apr 2022
Ruoxuan Xiong and Markus Pelger
Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 740 (48,718)
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

11.

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 University - Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 589 (65,432)
Citation 19

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

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 554 (70,878)

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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 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 515 (77,428)
Citation 21

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

14.

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 Stanford University
Downloads 478 (84,723)
Citation 11

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

15.

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 428 (96,491)
Citation 2

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

16.

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 University - Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 318 (134,246)
Citation 8

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

17.

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 Stanford University
Downloads 295 (145,240)
Citation 7

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

18.

Shrinking the Term Structure

Swiss Finance Institute Research Paper No. 61, 2022
Number of pages: 60 Posted: 08 Aug 2022 Last Revised: 10 Aug 2022
Damir Filipović, Markus Pelger and Ye Ye
Ecole Polytechnique Fédérale de Lausanne, Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 267 (163,893)

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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

19.

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 221 (193,065)
Citation 1

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Executive Stock Options, Asian Options, Parisian Options

20.

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 203 (208,958)
Citation 1

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relative compensation, management compensation, herding, risk-aversion

21.

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 144 (279,345)
Citation 2

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

22.

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 77 (425,135)
Citation 2

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

23.

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 71 (444,301)

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

24.

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 67 (458,033)
Citation 2

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

25.

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 Stanford University
Downloads 50 (525,196)

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

26.

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

Number of pages: 46 Posted: 16 Mar 2022
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 47 (538,679)

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

27.

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
Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 26 (657,505)
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

Other Papers (1)

Total Downloads: 229
1.

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

Number of pages: 153 Posted: 13 May 2020 Last Revised: 20 Sep 2021
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 229

Abstract:

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