Nick Polson

University of Chicago - Booth School of Business

Associate Professor of Statistics

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 1,651

SSRN RANKINGS

Top 1,651

in Total Papers Downloads

35,615

TOTAL CITATIONS
Rank 4,233

SSRN RANKINGS

Top 4,233

in Total Papers Citations

456

Scholarly Papers (18)

1.

Deep Learning for Finance: Deep Portfolios

Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 10 Posted: 14 Sep 2016 Last Revised: 17 Oct 2022
J.B. Heaton, Nick Polson and Jan Witte
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 12,054 (857)
Citation 79

Abstract:

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Deep Learning, Machine Learning, Big Data, Artificial Intelligence, Finance, Asset Pricing, Volatility, Deep Frontier

2.

Why Indexing Works

Applied Stochastic Models in Business and Industry 33 (6), 690-693.
Number of pages: 4 Posted: 14 Oct 2015 Last Revised: 17 Oct 2022
J.B. Heaton, Nick Polson and Jan Witte
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 8,046 (1,690)
Citation 3

Abstract:

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Indexing, Passive Management, Active Management

3.

Deep Learning in Characteristics-Sorted Factor Models

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 50 Posted: 23 Sep 2018 Last Revised: 26 Jun 2023
Guanhao Feng, Jingyu He, Nick Polson and Jianeng Xu
City University of Hong Kong (CityU), City University of Hong Kong (CityU), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 2,917 (9,214)
Citation 39

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Cross-sectional Returns, Deep Learning, Latent Factors, Nonlinearity, Security Sorting.

4.

MCMC Methods for Continuous-Time Financial Econometrics

Number of pages: 96 Posted: 27 Dec 2003
Michael S. Johannes and Nick Polson
Graduate School of Business, Columbia University and University of Chicago - Booth School of Business
Downloads 2,409 (12,518)
Citation 63

Abstract:

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5.

Corporate Credit Spreads under Parameter Uncertainty

AFA 2009 San Francisco Meetings Paper
Number of pages: 45 Posted: 26 Mar 2008 Last Revised: 30 Nov 2009
Arthur G. Korteweg and Nick Polson
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,712 (21,564)

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Credit risk, credit spread, bankruptcy, default, corporate bonds, MCMC

6.

Sequential Learning, Predictability, and Optimal Portfolio Returns

Journal of Finance, Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 58 Posted: 25 Mar 2008 Last Revised: 04 Apr 2013
Graduate School of Business, Columbia University, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,669 (22,421)
Citation 42

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Learning, predictability, optimal portfolio formation

7.
Downloads 1,388 (29,559)
Citation 52

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001
Graduate School of Business, Columbia University, University of Wisconsin-Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 1,388 (29,047)
Citation 52

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Jumps, Stochastic Volatility, Continuous-Time Econometrics, Option Pricing, Market Stress

The Impact of Jumps in Volatility and Returns

Posted: 31 Aug 2003
University of Wisconsin-Madison - Department of Finance, Investment and Banking, Graduate School of Business, Columbia University and University of Chicago - Booth School of Business

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8.

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Number of pages: 48 Posted: 24 Mar 2002
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,194 (36,776)
Citation 43

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9.

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

Boston College Finance Dept. Working Paper
Number of pages: 31 Posted: 16 Jul 2001
Eric Jacquier, Peter E. Rossi and Nick Polson
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads 1,120 (40,373)
Citation 95

Abstract:

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ARCH, Bayes factor, Fat-tails, Gibbs Leverage effect, Metropolis, MCMC, Stochastic volatility

10.

Particle Filtering and Parameter Learning

Number of pages: 39 Posted: 02 May 2007
Michael S. Johannes and Nick Polson
Graduate School of Business, Columbia University and University of Chicago - Booth School of Business
Downloads 701 (76,617)
Citation 15

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Sequential learning, filtering, stochastic volatility, Kalman filter

11.

Nonlinear Filtering of Stochastic Differential Equations with Jumps

Number of pages: 44 Posted: 15 Oct 2002
Graduate School of Business, Columbia University, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business
Downloads 657 (83,121)
Citation 11

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Filtering, Stochastic Differential Equations, Jumps, Option Pricing, Volatility

12.

Tracking Flu Epidemics Using Google Flu Trends and Particle Learning

Number of pages: 33 Posted: 27 Nov 2009 Last Revised: 27 Oct 2012
University of Chicago, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 583 (96,854)
Citation 7

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Epidemics, Particle learning, influenza, Google, IP surveillance, SEIR, H1N1 virus

13.

Particle Learning and Smoothing

Statistical Science, Vol. 25, No. 1, pp. 88-106, 2010
Number of pages: 19 Posted: 22 Oct 2011 Last Revised: 09 Nov 2011
University of Texas at Austin - McCombs School of Business, Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 320 (194,590)
Citation 4

Abstract:

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14.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and James Yae
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 250 (251,264)
Citation 1

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Quantile, LAD, Particle Filtering, Particle Learning, Bayes Factor

15.

Sparse Regularization in Marketing and Economics

Number of pages: 29 Posted: 20 Aug 2017 Last Revised: 10 Feb 2018
Guanhao Feng, Nick Polson, Yuexi Wang and Jianeng Xu
City University of Hong Kong (CityU), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 220 (285,577)

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Machine learning, Regularization, Proximal Algorithm, Nonconvex Optimization, Marketing Demand Forecasting

16.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and James Yae
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 198 (315,429)
Citation 1

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Monte Carlo, Particle Filtering, Particle Learning, Nonlinear State Space Model, Slice Variable

17.

Regularizing Bayesian Predictive Regressions

Number of pages: 35 Posted: 17 Aug 2016 Last Revised: 25 Oct 2021
Guanhao Feng and Nick Polson
City University of Hong Kong (CityU) and University of Chicago - Booth School of Business
Downloads 177 (347,567)
Citation 1

Abstract:

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Bayesian predictive regression; prior sensitivity analysis; maximum-a-posteriori; equity-premium predictability; bond risk premia; predictor selection.

18.

Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2559-2599, 2009
Posted: 22 Jun 2009
Graduate School of Business, Columbia University, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University

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C11, C13, C15, C51, C52, G11, G12, G17