Rohit Allena

C.T. Bauer College of Business, University of Houston

Houston, TX 77204

United States

SCHOLARLY PAPERS

4

DOWNLOADS

635

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

True Liquidity and Fundamental Prices: US Tick Size Pilot

Number of pages: 85 Posted: 01 Apr 2021 Last Revised: 12 May 2022
Rohit Allena and Tarun Chordia
C.T. Bauer College of Business, University of Houston and Emory University - Department of Finance
Downloads 242 (174,941)

Abstract:

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True Liquidity, Fundamental Prices, True bid-ask spreads, US Tick Size Pilot, Machine Learning for Structural Estimation, Variational Inference, High-Frequency Data, Scalable Algorithms

2.

Comparing Asset Pricing Models with Non-Traded Factors and Principal Components

Number of pages: 74 Posted: 23 Sep 2020
Rohit Allena
C.T. Bauer College of Business, University of Houston
Downloads 173 (238,614)

Abstract:

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Macroeconomic Factors, Principal Components, Novel Non-Informative Priors, Conditional Test Assets Irrelevance, Invariant Comparisons, Out-of-Sample Model Comparisons

3.

Confident Risk Premiums and Investments using Machine Learning Uncertainties

Number of pages: 80 Posted: 18 Nov 2021 Last Revised: 08 Dec 2021
Rohit Allena
C.T. Bauer College of Business, University of Houston
Downloads 142 (279,207)

Abstract:

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Stock Return Predictions, Neural Networks, Standard Errors, Risk Premiums, Confidence Intervals, Investment Strategies, Machine Learning Uncertainties

4.

Confident Risk Premia: Economics and Econometrics of Machine Learning Uncertainties

Number of pages: 75 Posted: 22 Mar 2021 Last Revised: 24 Mar 2021
Rohit Allena
C.T. Bauer College of Business, University of Houston
Downloads 78 (417,219)

Abstract:

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Machine Learning, Neural Networks, Standard Errors, Risk Premium, Novel Investment Strategies, Robust Out-of-Sample Inferences, Average Return Comparisons, Sharpe Ratio Comparisons, Machine Learning Uncertainties