Advanced Search

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

17

DOWNLOADS
Rank 1,178

SSRN RANKINGS

Top 1,178

in Total Papers Downloads

21,372

CITATIONS
Rank 1,164

SSRN RANKINGS

Top 1,164

in Total Papers Citations

468

Scholarly Papers (17)

Actions:
Email selected abstracts
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 5,633 (1,094)

Abstract:

Loading...

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 5,589 (1,090)

Abstract:

Loading...

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 1,974 (6,520)
Citation 58

Abstract:

Loading...

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 1,565 (9,670)
Citation 10

Abstract:

Loading...

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 1,482 (10,584)
Citation 9

Abstract:

Loading...

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 1,024 (18,782)
Citation 28

Abstract:

Loading...

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 997 (19,541)
Citation 59

Abstract:

Loading...

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

8.

The Impact of Jumps in Volatility and Returns

Downloads 970 ( 20,362)
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 970 (20,008)
Citation 285

Abstract:

Loading...

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:

Loading...

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 (40,051)
Citation 7

Abstract:

Loading...

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 559 (43,595)
Citation 6

Abstract:

Loading...

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 418 (62,878)

Abstract:

Loading...

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 212 (131,532)
Citation 6

Abstract:

Loading...

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 (165,350)

Abstract:

Loading...

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 109 (229,604)

Abstract:

Loading...

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

15.

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 48 (367,413)

Abstract:

Loading...

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

16.

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 29 (435,776)

Abstract:

Loading...

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

17.

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:

Loading...

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