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

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

  • University of St. Gallen - School of Finance

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 44,714

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15

CROSSREF CITATIONS

2

Scholarly Papers (6)

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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
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke and Florian Weigert
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 4,254 (4,006)
Citation 14

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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
Andrea Barbon, Heiner Beckmeyer, Andrea Buraschi and Mathis Moerke
University of St. Gallen, University of Münster, Imperial College Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,453 (22,383)
Citation 1

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

3.

Machine Forecast Disagreement

Downloads 1,207 (29,378)

Machine Forecast Disagreement

Number of pages: 54 Posted: 14 Aug 2023 Last Revised: 22 Aug 2023
Turan G. Bali, Bryan T. Kelly, Mathis Moerke and Jamil A. Rahman
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 1,203 (29,040)

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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: 54 Posted: 21 Aug 2023
Turan G. Bali, Bryan T. Kelly, Mathis Moerke and Jamil Rahman
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 4 (1,040,593)
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4.

Option Factor Momentum

Number of pages: 51 Posted: 13 Apr 2023 Last Revised: 17 Apr 2023
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 734 (58,724)

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Options, momentum, factor momentum

5.

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 546 (85,506)

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Variance risk premium, CDS implied volatility, CDS variance swap

6.

Commodity Tail Risks

Journal of Futures Markets, Forthcoming
Number of pages: 45 Posted: 23 Sep 2022
Manuel Ammann, Mathis Moerke, Marcel Prokopczuk and Christoph Wuersig
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 380 (131,470)

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Commodities, Tail Risks, Dependencies