Matthias Büchner

University of Warwick - Finance Group

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

http://mbuechner.com

SCHOLARLY PAPERS

4

DOWNLOADS

1,848

SSRN CITATIONS

8

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
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 1,393 (14,020)
Citation 8

Abstract:

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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 170 (186,898)
Citation 2

Abstract:

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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 167 (187,847)

Abstract:

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Option Return; Factor Model; Return Predictability; IPCA

4.

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

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 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 118 (248,234)

Abstract:

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