Jessica Li

Neoma Business School

59, rue Pierre Taittinger

Reims, 51100

France

SCHOLARLY PAPERS

5

DOWNLOADS

1,472

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Finance And Mathematics: Merger Or Acquisitions?

Number of pages: 38 Posted: 01 Oct 2014 Last Revised: 21 Sep 2015
Sebastien Lleo and Jessica Li
NEOMA Business School and Neoma Business School
Downloads 476 (113,987)
Citation 1

Abstract:

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mathematical finance, financial economics, history of economics, history of mathematics, embedding, derivatives pricing, financial crisis, Barnesian performativity

2.

Changepoint Detection in the Cross-Section of Stock Returns

Number of pages: 39 Posted: 13 Apr 2023
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 427 (129,551)

Abstract:

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changepoint methods, unsupervised machine learning, empirical asset pricing, Fama-French five-factor model, heteroskedasticity, GARCH

3.

Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.

Number of pages: 54 Posted: 16 Nov 2020
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 349 (162,474)
Citation 2

Abstract:

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changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

4.

Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.'

Number of pages: 46 Posted: 11 Dec 2020
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 145 (373,835)

Abstract:

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changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

5.

Online Appendix for Changepoint Detection in the Cross-Section of Stock Returns A Tutorial on Changepoint Detection Methodologies

Number of pages: 26 Posted: 13 Apr 2023
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 75 (588,955)

Abstract:

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changepoint methods, unsupervised machine learning