Svetlana Bryzgalova

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 9,263

in Total Papers Downloads

7,115

SSRN CITATIONS
Rank 30,369

SSRN RANKINGS

Top 30,369

in Total Papers Citations

17

CROSSREF CITATIONS

11

Scholarly Papers (6)

1.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 59 Posted: 19 Dec 2019 Last Revised: 20 Sep 2021
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 2,581 (7,283)
Citation 17

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

2.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 17 May 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2,181 (9,528)
Citation 9

Abstract:

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods, shrinkage, SDF.

3.

Retail Trading in Options and the Rise of the Big Three Wholesalers

Number of pages: 92 Posted: 20 Apr 2022 Last Revised: 17 May 2022
Svetlana Bryzgalova, Anna Pavlova and Taisiya Sikorskaya
London Business School - Department of Finance, London Business School and London Business School
Downloads 1,673 (14,632)

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Retail, payment for order flow, dividend play, suboptimal option exercise, market concentration, arbitrage, FinTech, WallStreetBets

4.

Missing Financial Data

Number of pages: 80 Posted: 13 May 2022
Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 303 (141,383)

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Missing data, firm characteristics, PCA, factor model, big data, asset pricing

5.

Consumption

Number of pages: 83 Posted: 12 Mar 2021 Last Revised: 11 Nov 2021
Svetlana Bryzgalova and Christian Julliard
London Business School - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 272 (154,190)
Citation 1

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Consumption Dynamics, Asset Returns, Consumption-Based Asset Pricing, Term Structure

6.

Internet Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 27 Posted: 04 Aug 2020 Last Revised: 17 May 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 105 (343,914)

Abstract:

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

Other Papers (1)

Total Downloads: 203
1.

Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 153 Posted: 13 May 2020 Last Revised: 20 Sep 2021
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 203

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning