Antoine Didisheim

The University of Melbourne

Parkville, 3010

Australia

Swiss Finance Institute

Assitant Professor

University of Melbourne

Melbourne, VA

Australia

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 15,316

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Top 15,316

in Total Papers Downloads

6,111

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.
Downloads 2,349 (11,945)
Citation 2

Complexity in Factor Pricing Models

Swiss Finance Institute Research Paper No. 23-19
Number of pages: 139 Posted: 14 Mar 2023 Last Revised: 22 Jan 2024
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 2,343 (11,780)

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Stochastic discount factor (SDF), asset pricing test, pricing error, alpha, cross section of returns, portfolio choice

Complexity in Factor Pricing Models

NBER Working Paper No. w31689
Number of pages: 138 Posted: 18 Sep 2023
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 6 (1,137,924)
Citation 2
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2.

Deep Surrogates for Finance: With an Application to Option Pricing

Number of pages: 48 Posted: 12 Mar 2021 Last Revised: 28 Oct 2023
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, The University of Melbourne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,225 (32,375)
Citation 1

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surrogate, deep neural network, tail risk index, parameter instability, illiquidity, distribution of option return, VaR

3.

Deep Regression Ensembles

Swiss Finance Institute Research Paper No. 22-20, 2022
Number of pages: 29 Posted: 08 Mar 2022
Antoine Didisheim, Bryan T. Kelly and Semyon Malamud
The University of Melbourne, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 958 (45,992)

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Deep learning, Neural network, Random features, Ensembles

4.

The End of the Crypto-Diversification Myth

Number of pages: 50 Posted: 16 Jun 2022 Last Revised: 07 May 2024
Antoine Didisheim, Martina Fraschini and Luciano Somoza
The University of Melbourne, University of Luxembourg and ESSEC Business School
Downloads 896 (50,352)
Citation 1

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cryptocurrency, bitcoin, correlation, households, retail investors

5.

Deep Replication

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 07 Feb 2023
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
The University of Melbourne, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 464 (117,639)
Citation 1

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Deep Learning, Agent Preferences, Risk Aversion, Volatility Smile, Asset Pricing

6.

Information Pools and Insider Trading: A Snapshot of America's Financial Elite.

Swiss Finance Institute Research Paper No. 21-28
Number of pages: 42 Posted: 24 Mar 2021
Antoine Didisheim and Luciano Somoza
The University of Melbourne and ESSEC Business School
Downloads 219 (258,980)

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network, hedge funds, Ivy league, information flows, insider trading