Nick Polson

University of Chicago - Booth School of Business

Associate Professor of Statistics

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 3,397

SSRN RANKINGS

Top 3,397

in Total Papers Downloads

10,513

CITATIONS
Rank 1,165

SSRN RANKINGS

Top 1,165

in Total Papers Citations

469

Scholarly Papers (16)

1.

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 2,008 (6,645)
Citation 59

Abstract:

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2.

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 1,569 (10,089)
Citation 10

Abstract:

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

3.

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
Columbia Business School - Finance and Economics, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,496 (10,903)
Citation 9

Abstract:

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Learning, predictability, optimal portfolio formation

4.

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Number of pages: 48 Posted: 24 Mar 2002
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,031 (19,359)
Citation 28

Abstract:

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5.

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 1,006 (20,124)
Citation 59

Abstract:

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

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001
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 984 (20,489)
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
University of Wisconsin - Madison - Department of Finance, Investment and Banking, Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

Abstract:

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7.

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 598 (41,593)
Citation 7

Abstract:

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Sequential learning, filtering, stochastic volatility, Kalman filter

8.

Nonlinear Filtering of Stochastic Differential Equations with Jumps

Number of pages: 44 Posted: 15 Oct 2002
Columbia Business School - Finance and Economics, McDonough School of Business, Georgetown University and University of Chicago - Booth School of Business
Downloads 561 (45,203)
Citation 6

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

9.

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 431 (62,859)

Abstract:

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

10.

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 228 (127,188)

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

11.

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 - 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 214 (135,152)
Citation 6

Abstract:

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12.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 168 (168,655)

Abstract:

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

13.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 111 (234,432)

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

14.

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 57 (347,775)

Abstract:

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

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 (CityUHK), University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 51 (366,188)

Abstract:

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

16.

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
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University

Abstract:

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