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

7

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12,454

SSRN CITATIONS
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SSRN RANKINGS

Top 21,802

in Total Papers Citations

58

CROSSREF CITATIONS

3

Scholarly Papers (7)

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: 18 Jul 2023
Georgetown University - McDonough School of Business, University of Münster, University of St. Gallen - Swiss Institute of Banking and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 5,415 (3,068)
Citation 59

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Machine learning, big data, option return predictability

2.
Downloads 3,001 ( 8,209)
Citation 1

Machine Forecast Disagreement

Georgetown McDonough School of Business Research Paper No. 4537501
Number of pages: 83 Posted: 14 Aug 2023 Last Revised: 15 May 2024
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 2,994 (8,095)
Citation 1

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machine forecast disagreement, analyst forecast dispersion, stock returns, costly arbitrage, mispricing

Machine Forecast Disagreement

NBER Working Paper No. w31583
Number of pages: 83 Posted: 21 Aug 2023
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 7 (1,147,087)
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3.

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 Münster, Imperial College Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,507 (24,229)
Citation 1

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

4.

Option Factor Momentum

Number of pages: 69 Posted: 13 Apr 2023 Last Revised: 04 Mar 2024
Niclas Käfer, Mathis Moerke and Tobias Wiest
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St. Gallen - School of Finance
Downloads 811 (58,583)
Citation 1

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Options, momentum, factor momentum

5.

A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options

Number of pages: 94 Posted: 16 Feb 2024 Last Revised: 17 Apr 2024
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance, University of Neuchatel - Institute of Financial Analysis and University of St. Gallen - School of Finance
Downloads 772 (62,771)

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Equity options, Option factor models, Asset pricing, Bayesian model averaging

6.

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 554 (95,550)

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Variance risk premium, CDS implied volatility, CDS variance swap

7.

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 Universität Hannover - Faculty of Economics and Management
Downloads 394 (143,373)

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Commodities, Tail Risks, Dependencies