Saketh Aleti

Duke University, Department of Economics

Graduate Student

Durham, NC

United States

  • Duke University, Department of Economics

SCHOLARLY PAPERS

5

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Top 40,573

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1,972

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (5)

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1.

Bitcoin Spot and Futures Market Microstructure

Journal of Futures Markets (Forthcoming)
Number of pages: 56 Posted: 03 Oct 2019 Last Revised: 31 Jan 2022
Saketh Aleti and Bruce Mizrach
Duke University, Department of Economics and Rutgers University, Department of Economics
Downloads 711 (58,697)
Citation 5

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Bitcoin, futures, market microstructure, cryptocurrency

2.

The High-Frequency Factor Zoo

Number of pages: 59 Posted: 18 Mar 2022 Last Revised: 25 Sep 2022
Saketh Aleti
Duke University, Department of Economics
Downloads 588 (75,177)

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Factors, asset pricing, high frequency data, jump risk premia

3.

Intraday Market Return Predictability Culled from the Factor Zoo

Downloads 293 (167,121)

Intraday Market Return Predictability Culled from the Factor Zoo

Number of pages: 72 Posted: 14 Mar 2023 Last Revised: 19 Apr 2023
Saketh Aleti, Tim Bollerslev and Mathias Siggaard
Duke University, Department of Economics, Duke University - Finance and Aarhus University
Downloads 293 (166,154)

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High-frequency data, market return predictability, factor zoo, machine learning, market timing, market frictions, slow-moving capital

Intraday Market Return Predictability Culled from the Factor Zoo

Number of pages: 72 Posted: 14 Mar 2023
Saketh Aleti, Tim Bollerslev and Mathias Siggaard
Duke University, Department of Economics, Duke University - Finance and Aarhus University
Downloads 0 (174,576)

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High-frequency data, market return predictability, factor zoo, machine learning, market timing, market frictions, slow-moving capital

4.

News and Asset Pricing: A High-Frequency Anatomy of the SDF

Number of pages: 55 Posted: 22 Sep 2022 Last Revised: 31 Jan 2023
Saketh Aleti and Tim Bollerslev
Duke University, Department of Economics and Duke University - Finance
Downloads 192 (251,500)

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SDF, high-frequency factors, jumps, news, risk premiums

5.

The High-Frequency Factor Zoo - Online Appendix

Number of pages: 108 Posted: 26 Apr 2022 Last Revised: 25 Sep 2022
Saketh Aleti
Duke University, Department of Economics
Downloads 188 (256,260)

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Factors, asset pricing, high frequency data, jump risk premia