Nick Polson

University of Chicago - Booth School of Business

Associate Professor of Statistics

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

  • University of Chicago - Booth School of Business

    • Email
    • Tel: 773-702-7513
    • Fax: 773-702-0458
SCHOLARLY PAPERS

18

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CITATIONS
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468

Scholarly Papers (18)

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1.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 15 Mar 2018
J.B. Heaton, Nick Polson and Jan Witte
University of Chicago Law School, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,030 (980)

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

2.

Why Indexing Works

Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 15 Mar 2018
J.B. Heaton, Nick Polson and Jan Witte
University of Chicago Law School, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 5,713 (1,080)

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Indexing, Passive Management, Active Management

3.

MCMC Methods for Continuous-Time Financial Econometrics

Number of pages: 96 Posted: 27 Dec 2003
Michael S. Johannes and Nick Polson
Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Downloads 1,987 (6,600)
Citation 58

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4.

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 1,566 (9,865)
Citation 10

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

5.

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
Michael S. Johannes, Arthur G. Korteweg and Nick Polson
Columbia Business School - Finance and Economics, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,488 (10,712)
Citation 9

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Learning, predictability, optimal portfolio formation

6.

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Number of pages: 48 Posted: 24 Mar 2002
Michael S. Johannes, Nick Polson and Jonathan R Stroud
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,027 (19,006)
Citation 28

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7.

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 1,002 (19,760)
Citation 59

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

8.

The Impact of Jumps in Volatility and Returns

Downloads 977 ( 20,540)
Citation 285

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001
Michael S. Johannes, Bjorn Eraker and Nick Polson
Columbia Business School - Finance and Economics, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 977 (20,190)
Citation 285

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

The Impact of Jumps in Volatility and Returns

Journal of Finance, Vol. 58, pp. 1269-1300, June 2003
Posted: 31 Aug 2003
Bjorn Eraker, Michael S. Johannes and Nick Polson
University of Wisconsin - Madison - Department of Finance, Investment and Banking, Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

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9.

Particle Filtering and Parameter Learning

Number of pages: 39 Posted: 02 May 2007
Michael S. Johannes and Nick Polson
Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Downloads 597 (40,734)
Citation 7

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Sequential learning, filtering, stochastic volatility, Kalman filter

10.

Nonlinear Filtering of Stochastic Differential Equations with Jumps

Number of pages: 44 Posted: 15 Oct 2002
Michael S. Johannes, Jonathan R Stroud and Nick Polson
Columbia Business School - Finance and Economics, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business
Downloads 560 (44,282)
Citation 6

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

11.

Tracking Flu Epidemics Using Google Flu Trends and Particle Learning

Number of pages: 33 Posted: 27 Nov 2009 Last Revised: 27 Oct 2012
Vanja M. Dukic, Hedibert F. Lopes and Nick Polson
University of Chicago, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 424 (62,724)

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

12.

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
Carlos M. Carvalho, Michael S. Johannes, Hedibert F. Lopes and Nick Polson
University of Texas at Austin - Red McCombs School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 213 (133,049)
Citation 6

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13.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and Seung M. Yae
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 166 (167,058)

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

14.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009
Michael S. Johannes, Nick Polson and Seung M. Yae
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 110 (231,581)

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

15.

Deep Learning Factor Alpha

Number of pages: 34 Posted: 23 Sep 2018 Last Revised: 01 Oct 2018
Guanhao Feng, Nick Polson and Jianeng Xu
City University of Hong Kong (CityUHK), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 98 (250,893)

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Characteristic-based Anomalies, Cross-Sectional Returns, Deep Learning, Long- Short Factors, Security Sorting, Mispricing Alpha, Neural Network

16.

Regularizing Bayesian Predictive Regressions

Number of pages: 35 Posted: 17 Aug 2016 Last Revised: 15 Sep 2017
Guanhao Feng and Nick Polson
City University of Hong Kong (CityUHK) and University of Chicago - Booth School of Business
Downloads 53 (353,732)

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

17.

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 (CityUHK), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 43 (386,138)

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

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
Michael S. Johannes, Nick Polson and Jonathan R Stroud
Columbia Business School - Finance and Economics, 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