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Fabio Sigrist

ETH Zürich

Zürichbergstrasse 18

8092 Zurich, CH-1015

Switzerland

Lucerne University of Applied Sciences and Arts

Switzerland

  • ETH Zürich

  • Lucerne University of Applied Sciences and Arts

SCHOLARLY PAPERS

7

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2,631

TOTAL CITATIONS
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Top 23,583

in Total Papers Citations

39

Scholarly Papers (7)

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1.

Does sentiment help in asset pricing? A novel approach using large language models and market-based labels

Swiss Finance Institute Research Paper No. 24-69
Number of pages: 50 Posted: 08 Aug 2024 Last Revised: 19 Apr 2026
Jule Schuettler, Francesco Audrino and Fabio Sigrist
University of St.Gallen, University of St. Gallen and ETH Zürich
Downloads 746 (84,306)

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natural language processing, large language models, DeBERTa, asset pricing

2.

The Impact of Sentiment and Attention Measures on Stock Market Volatility

Number of pages: 33 Posted: 16 Jun 2018
Francesco Audrino, Fabio Sigrist and Daniele Ballinari
University of St. Gallen, ETH Zürich and University of Basel
Downloads 618 (107,693)
Citation 14

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Sentiment, Investor Attention, Realized Volatility, Volatility Forecasting, HAR

3.

Deep Learning for Real Estate Price Prediction

Number of pages: 31 Posted: 10 Jun 2019 Last Revised: 22 Sep 2021
Lorenz Walthert and Fabio Sigrist
affiliation not provided to SSRN and ETH Zürich
Downloads 411 (177,553)

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4.

When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases

Number of pages: 64 Posted: 09 Jan 2020 Last Revised: 10 Apr 2021
Daniele Ballinari, Francesco Audrino and Fabio Sigrist
University of Basel, University of St. Gallen and ETH Zürich
Downloads 397 (184,665)
Citation 17

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limited attention, realized volatility, investor attention, retail investors, institutional investors, StockTwits, Twitter, news releases

5.

Explainable Spatial Machine Learning for Hedonic Real Estate Modeling

Number of pages: 37 Posted: 02 Apr 2025 Last Revised: 19 Nov 2025
Tim Gyger, Simona Hauri, Simon Bühlmann, Manuel Lehner, Jaron Schlesinger and Fabio Sigrist
Lucerne University of Applied Sciences and Arts, University of Basel, ETH, Fahrländer Partner Raumentwicklung, Fahrländer Partner Raumentwicklung and ETH Zürich
Downloads 207 (369,861)

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Rental price prediction, Spatial dependencies, Gaussian processes, Tree-boosting

6.

Machine Learning for Corporate Default Risk: Multi-Period Prediction, Frailty Correlation, Loan Portfolios, and Tail Probabilities

Number of pages: 35 Posted: 11 Oct 2021 Last Revised: 20 Jun 2022
Fabio Sigrist and Nicola Leuenberger
ETH Zürich and affiliation not provided to SSRN
Downloads 191 (399,431)
Citation 8

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7.

A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios

Number of pages: 28 Posted: 04 Oct 2024 Last Revised: 17 Dec 2025
Pascal Kündig and Fabio Sigrist
Lucerne University of Applied Sciences and Arts and ETH Zürich
Downloads 61 (951,658)

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bankruptcy, Gaussian process, space-time frailty correlation, tree-boosting, risk analysis