Matthias Büchner

University of Warwick - Finance Group

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

http://mbuechner.com

SCHOLARLY PAPERS

4

DOWNLOADS

2,639

SSRN CITATIONS

9

CROSSREF CITATIONS

8

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 2,010 (8,386)
Citation 12

Abstract:

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

2.

A Factor Model for Option Returns

Number of pages: 53 Posted: 05 Sep 2019 Last Revised: 08 Sep 2020
Matthias Büchner and Bryan T. Kelly
University of Warwick - Finance Group and Yale SOM
Downloads 273 (125,276)

Abstract:

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Option Return; Factor Model; Return Predictability; IPCA

3.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 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 216 (157,878)
Citation 3

Abstract:

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

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 140 (230,483)

Abstract:

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