Mathis Moerke

University of St. Gallen - Swiss Institute of Banking and Finance

Rosenbergstrasse 52

St. Gallen, CH-9000

Switzerland

http://www.mathismoerke.com

University of St. Gallen - School of Finance

Unterer Graben 21

St. Gallen, 9000

Switzerland

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Option Return Predictability with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3895984
Number of pages: 156 Posted: 18 Aug 2021 Last Revised: 05 Aug 2022
Georgetown University - McDonough School of Business, University of Muenster - Finance Center Muenster, University of St. Gallen - Swiss Institute of Banking and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 2,474 (8,162)

Abstract:

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Machine learning, big data, option return predictability

2.

Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices

Swiss Finance Institute Research Paper No. 22-40
Number of pages: 65 Posted: 21 Sep 2021 Last Revised: 23 May 2022
University of St. Gallen, University of Muenster - Finance Center Muenster, Imperial College Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,215 (24,709)

Abstract:

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Liquidity Provision, Gamma Exposure, Option Delta-Hedging, Leveraged ETF, End-of-Day Momentum

3.

Credit Variance Risk Premiums

European Financial Management, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2019/08
Number of pages: 50 Posted: 24 Jun 2019 Last Revised: 12 Sep 2022
Manuel Ammann and Mathis Moerke
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 462 (89,629)

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Variance risk premium, CDS implied volatility, CDS variance swap

4.

Commodity Tail Risks

Journal of Futures Markets, Forthcoming
Number of pages: 45 Posted: 23 Sep 2022
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance, University of Reading - ICMA Centre and Leibniz Universit├Ąt Hannover - Faculty of Economics and Management
Downloads 153 (280,264)

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Commodities, Tail Risks, Dependencies