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

27

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176

CROSSREF CITATIONS

69

Scholarly Papers (27)

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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 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
Jorge Guijarro-Ordonez, Markus Pelger and Greg Zanotti
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

4.

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

Downloads 1,589 ( 16,253)
Citation 21

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

5.

Machine-Learning the Skill of Mutual Fund Managers

Downloads 1,387 ( 20,014)

Machine-Learning the Skill of Mutual Fund Managers

Number of pages: 71 Posted: 07 Dec 2021 Last Revised: 06 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 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
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 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
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 833 (41,944)

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

9.

Estimating Latent Asset-Pricing Factors

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
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 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
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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