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 2,257

SSRN RANKINGS

Top 2,257

in Total Papers Downloads

11,967

CITATIONS
Rank 1,168

SSRN RANKINGS

Top 1,168

in Total Papers Citations

465

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 1,730 (5,849)
Citation 58

Abstract:

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 1,503 (8,214)
Citation 10

Abstract:

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 1,241 (9,971)
Citation 9

Abstract:

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 922 (17,130)
Citation 28

Abstract:

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 916 (17,638)
Citation 59

Abstract:

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

6.
Downloads 874 ( 19,883)
Citation 283

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 874 (19,514)
Citation 283

Abstract:

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:

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 543 (35,850)
Citation 7

Abstract:

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 525 (38,713)
Citation 6

Abstract:

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 340 (58,527)

Abstract:

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

10.

Smart Money, Dumb Money, and Learning Type from Price

Number of pages: 23 Posted: 09 Aug 2011 Last Revised: 15 Jun 2012
J.B. Heaton and Nick Polson
Bartlit Beck Herman Palenchar & Scott LLP and University of Chicago - Booth School of Business
Downloads 219 (97,351)

Abstract:

smart money, dumb money, noise traders, limits of arbitrage, learning, heterogeneous beliefs

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 122 (130,527)
Citation 6

Abstract:

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 118 (170,557)

Abstract:

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 90 (216,572)

Abstract:

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

14.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016
J.B. Heaton, Nick Polson and Jan Hendrik Witte
Bartlit Beck Herman Palenchar & Scott LLP, University of Chicago - Booth School of Business and University of Oxford - Mathematical Institute
Downloads 0 (15,211)

Abstract:

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

15.

Why Indexing Works

Number of pages: 6 Posted: 14 Oct 2015 Last Revised: 03 Feb 2017
J.B. Heaton, Nick Polson and Jan Hendrik Witte
Bartlit Beck Herman Palenchar & Scott LLP, University of Chicago - Booth School of Business and University of Oxford - Mathematical Institute
Downloads 0 (12,194)

Abstract:

Indexing, Passive Management, Active Management

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:

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