Svetlana Bryzgalova

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 30,542

SSRN RANKINGS

Top 30,542

in Total Papers Downloads

1,740

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

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

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 08 Jul 2020
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 893 (29,422)
Citation 3

Abstract:

Loading...

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

2.

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

Number of pages: 79 Posted: 19 Dec 2019 Last Revised: 28 Sep 2020
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 807 (33,973)
Citation 7

Abstract:

Loading...

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

3.

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

Number of pages: 40 Posted: 04 Aug 2020
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 40 (475,204)

Abstract:

Loading...

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

Other Papers (1)

Total Downloads: 32
1.

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

Number of pages: 118 Posted: 13 May 2020 Last Revised: 01 Sep 2020
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 32

Abstract:

Loading...

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