Tizian Otto

University of Hamburg

Moorweidenstraße 18

Hamburg, 20148

Germany

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 24,575

in Total Papers Downloads

3,968

SSRN CITATIONS
Rank 42,645

SSRN RANKINGS

Top 42,645

in Total Papers Citations

18

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Estimating Stock Market Betas via Machine Learning

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 99 Posted: 01 Oct 2021 Last Revised: 24 Mar 2024
University of Hamburg, Saarland University, University of Hamburg and University of Reading - ICMA Centre
Downloads 1,523 (23,747)
Citation 6

Abstract:

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Beta estimation, machine learning, active trading strategy

2.

Forecasting Stock Market Crashes via Machine Learning

Number of pages: 63 Posted: 11 May 2021 Last Revised: 06 Sep 2022
Hubert Dichtl, Wolfgang Drobetz and Tizian Otto
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 846 (54,898)
Citation 5

Abstract:

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extreme event prediction, stock market crashes, machine learning, active trading strategy

3.

Empirical Asset Pricing via Machine Learning: Evidence from the European Stock Market

Number of pages: 60 Posted: 27 Jul 2020 Last Revised: 17 Aug 2021
Wolfgang Drobetz and Tizian Otto
University of Hamburg and University of Hamburg
Downloads 813 (57,892)
Citation 14

Abstract:

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stock return prediction machine learning, active trading strategy

4.

Predictability and the Cross-Section of Expected Returns: Evidence from the European Stock Market

Number of pages: 43 Posted: 19 Aug 2019 Last Revised: 01 Jul 2020
University of Hamburg, University of Hamburg, M.M. Warburg & Co and University of Hamburg
Downloads 384 (146,262)
Citation 3

Abstract:

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characteristics-based asset pricing, factor timing, active trading strategy

5.

Predicting Corporate Bond Illiquidity via Machine Learning

Financial Analysts Journal, Forthcoming
Number of pages: 61 Posted: 26 Jun 2023 Last Revised: 25 Apr 2024
TOBAM, University of Hamburg, University of Hamburg and University of Mannheim - Department of International Finance
Downloads 368 (153,316)

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Illiquidity estimation, machine learning, corporate bonds

6.

Drawdowns in stock and crypto markets. What is the best bootstrapping method?

Number of pages: 38 Posted: 30 Apr 2024 Last Revised: 24 Jun 2024
Hubert Dichtl, Wolfgang Drobetz and Tizian Otto
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 34 (834,723)

Abstract:

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JEL Classification: G11, G12, G14 Bootstrap, block bootstrap, crashes, drawdowns, stock markets, crypto markets, bitcoin, serial dependence