Svetlana Bryzgalova

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

  • London Business School - Department of Finance

SCHOLARLY PAPERS

6

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17

CROSSREF CITATIONS

11

Scholarly Papers (6)

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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 2,843 (6,460)
Citation 18

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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: 22 Jun 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2,304 (8,947)
Citation 9

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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: 13 Jun 2022
Svetlana Bryzgalova, Anna Pavlova and Taisiya Sikorskaya
London Business School - Department of Finance, London Business School and London Business School
Downloads 2,098 (10,490)

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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 803 (43,804)

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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 293 (146,137)
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: 22 Jun 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 116 (327,872)

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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: 227
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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 227

Abstract:

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