Petter N. Kolm

New York University (NYU) - Courant Institute of Mathematical Sciences

Clinical Full Professor

251 Mercer Street

New York, NY 10012

United States

SCHOLARLY PAPERS

26

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28,908

SSRN CITATIONS
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Top 24,584

in Total Papers Citations

43

CROSSREF CITATIONS

8

Scholarly Papers (26)

1.

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Number of pages: 43 Posted: 09 Aug 2021
Petter N. Kolm, Jeremy Turiel and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 9,412 (1,189)
Citation 12

Abstract:

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Artificial neural networks, Deep learning, Financial machine learning, High-frequency trading, Limit order books, Market microstructure, Multiple horizons, Order flow, Return predictability

2.

Modern Perspectives on Reinforcement Learning in Finance

Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 08 Mar 2024
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 4,974 (3,564)
Citation 29

Abstract:

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Dynamic programming, Finance, Hedging, Intertemporal choice; Investment analysis, Machine learning, Optimal control, Options, Portfolio optimization, Reinforcement learning

3.

Multiperiod Portfolio Selection and Bayesian Dynamic Models

Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8 Posted: 28 Jul 2014 Last Revised: 16 Mar 2021
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,736 (9,459)
Citation 5

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Portfolio optimization, Transaction costs, Bayesian statistics, Markov models

4.

Identifying Patterns in Financial Markets: Extending the Statistical Jump Model for Regime Identification

Number of pages: 37 Posted: 07 Sep 2023 Last Revised: 26 Mar 2024
Princeton University - Department of Operations Research & Financial Engineering (ORFE), New York University (NYU) - Courant Institute of Mathematical Sciences, Princeton University - Bendheim Center for Finance and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 2,266 (12,837)
Citation 2

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Regime Switching; Temporal Clustering; Statistical Jump Models; Probabilistic Modeling; Times Series; Unsupervised Learning

5.

Robo-Advisory: From Investing Principles and Algorithms to Future Developments

Grealish, Adam and Petter N. Kolm, "Robo-Advisory: From Investing Principles and Algorithms to Future Developments" in Machine Learning in Financial Markets: A Guide to Contemporary Practice (2021). Edited by A. Capponi and C.A. Lehalle. Cambridge University Press.
Number of pages: 29 Posted: 18 Feb 2021
Adam Grealish and Petter N. Kolm
Betterment, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,912 (16,722)
Citation 1

Abstract:

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Asset location, Autonomous finance, Cash management, Goals-based investing, Investor interaction, Portfolio management, Robo-advisory, Responsible investing, Retail investing, Retirement planning, Risk management, Tax-loss harvesting, Tax management

6.

Do You Really Know Your P&L? The Importance of Impact-Adjusting the P&L

Number of pages: 24 Posted: 23 Jan 2023
Petter N. Kolm and Kevin Webster
New York University (NYU) - Courant Institute of Mathematical Sciences and Columbia University
Downloads 1,582 (22,519)

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Algorithmic trading, Best execution, Liquidity risk, Optimal execution, Portfolio management, Price impact, Scenario analysis, Trading, Trading footprint

7.

On the Bayesian Interpretation of Black-Litterman

European Journal of Operational Research, Volume 258, Issue 2, 16 April 2017, Pages 564-572
Number of pages: 22 Posted: 17 Oct 2016 Last Revised: 01 Dec 2017
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,514 (24,073)
Citation 7

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Black-Litterman, Portfolio Optimization, APT, Bayesian statistics

8.

Improving Deep Learning of Alpha Term Structures from the Order Book

Number of pages: 33 Posted: 15 Apr 2024
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,166 (35,221)

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Alpha Term Structures, Artificial Neural Networks, Deep Learning, Financial Machine Learning, High-Frequency Trading, Limit Order Books, Market Microstructure, Order Flow Imbalance, Return Predictability

9.

Information Content of Cross-Sectional and Multilevel Order Flow Imbalances: A Bayesian Approach

Number of pages: 39 Posted: 14 Sep 2023
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 812 (58,572)

Abstract:

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Bayesian statistics, Cross-sectional multilevel order flow imbalance, Financial machine learning, Market microstructure, Multilevel order flow imbalance, Order flow imbalance, Price impact

10.

What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach

Number of pages: 31 Posted: 20 Jan 2023
Federico P. Cortese, Petter N. Kolm and Erik Lindstrom
CNR - IMATI, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University
Downloads 799 (59,819)

Abstract:

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Clustering, Blockchain, Cryptocurrencies, Feature Selection, Regime Switching, Unsupervised Learning

11.

Feature Selection in Jump Models

Number of pages: 32 Posted: 18 Mar 2021
Peter Nystrup, Petter N. Kolm and Erik Lindstrom
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University
Downloads 641 (79,519)

Abstract:

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High-dimensional; sequential data; time series; clustering; unsupervised learning; regime switching

12.

A Dynamic Regime-Switching Model Using Gated Recurrent Straight-Through Units

Number of pages: 27 Posted: 30 Apr 2024
Aisot Technologies AG, ETH Zürich - Department of Computer Science and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 509 (106,090)

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Deep learning, Gated recurrent units, Regime switching, Recurrent neural networks, Statistical jump models, Straight-through estimators, Time series forecasting, Unsupervised learning

13.

What Happened to the Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading

Number of pages: 19 Posted: 04 Mar 2021
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 452 (122,303)
Citation 1

Abstract:

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Algorithmic trading, Backtesting, Best execution, Clean-up cost, Optimal execution, Trading, Transaction cost analysis

14.

Generalized Information Criteria for High-Dimensional Sparse Statistical Jump Models

Number of pages: 39 Posted: 15 Apr 2024
Federico P. Cortese, Petter N. Kolm and Erik Lindstrom
CNR - IMATI, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University
Downloads 133 (404,423)
Citation 1

Abstract:

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Clustering, feature selection, high-dimensional, information criteria, model selection, regime switching, sequential data, statistical jump models, time series, unsupervised learning

15.

Untangling Universality and Dispelling Myths in Mean-Variance Optimization

Posted: 03 Apr 2024 Last Revised: 13 May 2024
Elie Benveniste, Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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Investment management, Mean-variance optimization, Mean-variance equivalent distributions, Portfolio optimization, Portfolio theory, Robust portfolio management, Trading, Universality

16.

Mean-Variance Optimization for Simulation of Order Flow

Kolm, Petter N. and Westray, Nicholas, Mean-Variance Optimization for Simulation of Order Flow (May, 2022). The Journal of Portfolio Management, to Appear, 2022
Posted: 08 Jun 2022
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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Algorithmic Trading, Market Microstructure, Order Flow, Portfolio Optimization, Simulation, Systematic Trading

17.

FinEAS: Financial Embedding Analysis of Sentiment

Posted: 09 Feb 2022
Barcelona Supercomputing Center, New York University (NYU) - Courant Institute of Mathematical Sciences, Artificial Intelligence in Finance Institute and Barcelona Supercomputing Center

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Deep Learning, Financial Sentiment Analysis, Natural Language Processing, Sentence Embeddings, Text Classification, Transformer-Based Language Models.

18.

Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away

Grealish, Adam and Kolm, Petter N., 'Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away.' The Journal of Wealth Management 24.3 (2021). © [2021] PMR. All rights reserved.
Posted: 07 Sep 2021
Adam Grealish and Petter N. Kolm
Betterment, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Asset location, Autonomous finance, Cash management, Goals-based investing, Investor interaction, Portfolio management, Robo-advisory, Responsible investing, Retail investing, Retirement planning, Risk management, Tax-loss harvesting, Tax management

19.

Systematic Pricing and Trading of Municipal Bonds

The Journal of Financial Data Science 4.1 (2022). © [2022] PMR. All rights reserved.
Posted: 09 Aug 2021 Last Revised: 22 Nov 2021
Petter N. Kolm and Sudar Purushothaman
New York University (NYU) - Courant Institute of Mathematical Sciences and Foundation Credit

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Algorithmic trading, Factor models, Fixed income, Machine learning, Municipal bonds, Pricing models, Relative value, Systematic trading

20.

Black-Litterman and Beyond: The Bayesian Paradigm in Investment Management

The Journal of Portfolio Management, to appear, 2021.
Posted: 09 Mar 2021
Petter N. Kolm, Gordon Ritter and Joseph Simonian
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences and Natixis Investment Managers, L.P.

Abstract:

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Bayesian statistics, Black-Litterman, Factor investing, Investment management, Portfolio optimization, Portfolio theory, Risk premia, Robust portfolio management, Trading, Transaction costs, Views

21.

Factor Investing with Black-Litterman-Bayes: Incorporating Factor Views and Priors in Portfolio Construction

The Journal of Portfolio Management, Special Issue on Factor Investing, 2021
Posted: 03 Feb 2021
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Factor investing, Investment analysis, Bayesian statistics, Black-Litterman, Portfolio optimization, Portfolio theory, Risk premia

22.

Alternative Data in Investment Management: Usage, Challenges and Valuation

Ekster, Gene and Kolm, Petter N., 'Alternative Data in Investment Management: Usage, Challenges and Valuation.' The Journal of Financial Data Science 3.4 (2021). © [2021] PMR. All rights reserved.
Posted: 03 Dec 2020 Last Revised: 05 Aug 2021
Gene Ekster and Petter N. Kolm
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

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Alternative data; alt-data; fundamental investing, investment management; investment strategies; machine learning; quantitative investing; unstructured data.

23.

Deep Reinforcement Learning for Option Replication and Hedging

Jiayi Du, Muyang Jin, Petter N. Kolm, Gordon Ritter, Yixuan Wang and Bofei Zhang, 'Deep Reinforcement Learning for Option Replication and Hedging.' The Journal of Financial Data Science 2.4 (2020).
Posted: 21 Oct 2020
New York University (NYU) - Center for Data Science, New York University (NYU) - Center for Data Science, New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Center for Data Science and New York University (NYU) - Center for Data Science

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Financial Machine Learning, Hedging, Deep Q-learning, Deep Reinforcement Learning, Deep Neural Networks, Option Replication, Proximal Policy Optimization

24.

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Nystrup, Peter, Kolm, Petter N. and Lindstrom, Erik, "Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features." The Journal of Financial Data Science 2.3 (2020).
Posted: 05 Jun 2020 Last Revised: 16 Mar 2021
Peter Nystrup, Petter N. Kolm and Erik Lindstrom
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University

Abstract:

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Clustering; Finance; Jump models; Markov-Switching; State sequence estimation; Unsupervised learning

25.

Best Practices in Research for Quantitative Equity Strategies

The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 135-143; DOI/10.3905/jpm.2016.42.5.135
Posted: 27 Jan 2020
New York University (NYU) - Courant Institute of Mathematical Sciences, Johns Hopkins University - Carey Business School and New York University (NYU) - Courant Institute of Mathematical Sciences

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Research methodology, quantitative finance, machine learning, psychology

26.

Dynamic Replication and Hedging: A Reinforcement Learning Approach

Kolm, Petter N. and Gordon Ritter. "Dynamic Replication and Hedging: A Reinforcement Learning Approach." The Journal of Financial Data Science 1.1 (2019).
Posted: 05 Dec 2018 Last Revised: 16 Mar 2021
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Finance; Hedging; Investment analysis; Machine learning; Optimal control; Options; Portfolio optimization; Reinforcement learning

Other Papers (1)

Total Downloads: 0
1.

Advances of ML Approaches for Financial Decision Making and Time Series Analysis: A Panel Discussion

Antulov-Fantulin, Nino and Kolm, Petter N., Advances of ML Approaches for Financial Decision Making and Time Series Analysis: A Panel Discussion (2022)
Posted: 29 Dec 2022 Last Revised: 10 Mar 2023
Nino Antulov-Fantulin and Petter N. Kolm
Aisot Technologies AG and New York University (NYU) - Courant Institute of Mathematical Sciences

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Deep learning; Machine learning; Portfolio management; Reinforcement learning; Risk management; Trading