Matthias Büchner

University of Warwick - Finance Group

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

http://mbuechner.com

SCHOLARLY PAPERS

4

DOWNLOADS

1,729

SSRN CITATIONS

9

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.
Downloads 1,361 ( 13,984)
Citation 9

Bond Risk Premia with Machine Learning

Number of pages: 82 Posted: 26 Aug 2018 Last Revised: 28 Feb 2019
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,180 (17,036)
Citation 7

Abstract:

Loading...

Machine Learning, Neural Networks, Forecasting, Bond Returns Predictability, Empirical Asset Pricing, Ensembled Networks.

Bond Risk Premia with Machine Learning

USC-INET Research Paper No. 19-11, April 2019
Number of pages: 96 Posted: 15 Jun 2019 Last Revised: 23 Jun 2019
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 181 (170,332)
Citation 4

Abstract:

Loading...

Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing.

2.

What Matters When? Time-Varying Sparsity in Expected Returns

Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 12 Dec 2019
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 133 (220,623)
Citation 1

Abstract:

Loading...

Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

3.

A Factor Model for Option Returns

Number of pages: 52 Posted: 05 Sep 2019 Last Revised: 20 Nov 2019
Matthias Büchner and Bryan T. Kelly
University of Warwick - Finance Group and Yale SOM
Downloads 127 (228,578)

Abstract:

Loading...

Option Return; Factor Model; Return Predictability; IPCA

4.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 08 May 2019
Daniele Bianchi, Matthias Büchner and Roman Kozhan
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 108 (257,316)

Abstract:

Loading...

Order Imbalance Predictability, Market Efficiency, Liquidity Provision, Asymmetric Information