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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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Top 1,350

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17,873

CITATIONS
Rank 1,172

SSRN RANKINGS

Top 1,172

in Total Papers Citations

466

Scholarly Papers (18)

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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 (6,087)
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 (8,729)
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
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 1,241 (10,197)
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
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 922 (17,764)
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 (18,351)
Citation 59

Abstract:

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

6.

The Impact of Jumps in Volatility and Returns

Downloads 916 ( 19,859)
Citation 283

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 916 (19,486)
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
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

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 (37,565)
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
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 525 (40,886)
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
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 340 (60,996)

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 (101,195)

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
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 122 (129,195)
Citation 6

Abstract:

12.

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 118 (165,772)

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
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 90 (223,076)

Abstract:

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

14.

Sparse Regularization in Marketing and Economics

Number of pages: 33 Posted: 20 Aug 2017 Last Revised: 05 Sep 2017
Guanhao Feng, Nick Polson, Yuexi Wang and Jianeng Xu
City University of Hong Kong - College of Business, University of Chicago - Booth School of Business, University of Chicago, Students and University of Chicago, Students
Downloads 0 (400,426)

Abstract:

Machine learning, Artificial Intelligence, Regularization, Proximal Algorithm, Nonconvex Optimization, Marketing Demand Forecasting, High-Dimensional Econometrics

15.

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 (2,721)

Abstract:

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

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 - College of Business and University of Chicago - Booth School of Business
Downloads 0 (510,982)

Abstract:

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

17.

Why Indexing Works

Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 12 May 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 (1,218)

Abstract:

Indexing, Passive Management, Active Management

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

Abstract:

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

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