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Markus Pelger

Stanford University (from arXiv:2305.19484, 2023) · ORCID · OpenAlex

22 papers in scope · 20 published · 5 on the econ.EM arXiv · 1,681 citations · h-index 12 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Ruoxuan Xiong
  2. Ercument Cahan
  3. Qihui Chen
  4. Jushan Bai
  5. Yufeng Mao
  6. Param Silvapulle
  7. Mervyn J. Silvapulle
  8. Alessio Brini
  9. Serena Ng
  10. Stéphane Guerrier
  11. Gaetan Bakalli
  12. Junting Duan
  13. Ekaterina Seregina
  14. Matteo Barigozzi
  15. Thomas M. Schmelzer
  16. Mehmet Giray Ogut
  17. Stephen Boyd
  18. Kasper Johansson
  19. Olivier Scaillet
  20. Daniele Massacci

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(6 of 22)

Forest through the Trees: Building Cross‐Sections of Stock Returns
published2025 · The Journal of Finance · 148 citations · first circulated 2019
with Svetlana Bryzgalova, Jason Zhu
The Journal of Finance
Missing Financial Data
published2024 · Review of Financial Studies · 47 citations · first circulated 2022
with Svetlana Bryzgalova, Sven Lerner, Martin Lettau
Review of Financial Studies
A Simple Method for Predicting Covariance Matrices of Financial Returns
published2023 · Foundations and Trends® in Econometrics · 12 citations
with Kasper Johansson, Mehmet G. Ogut, Thomas M. Schmelzer, Stephen Boyd, Mehmet Giray Ogut
Paper profile Foundations and Trends® in Econometrics arXiv:2305.19484
Comment on: Eigenvalue Tests for the Number of Latent Factors in Short Panels
published2023 · Journal of Financial Econometrics
Journal of Financial Econometrics
Target PCA: Transfer learning large dimensional panel data
published2023 · Journal of Econometrics · 8 citations · first circulated 2022
with Junting Duan, Ruoxuan Xiong
Paper profile Journal of Econometrics arXiv:2308.15627
Machine-learning the skill of mutual fund managers
published2023 · Journal of Financial Economics · 107 citations · first circulated 2021
with Ron Kaniel, Zihan Lin, Stijn Van Nieuwerburgh
Journal of Financial Economics
Deep Learning in Asset Pricing
published2023 · Management Science · 419 citations · first circulated 2019
with Luyang Chen, Jason Zhu
Management Science
Inference for Large Panel Data with Many Covariates
working paper2022 · arXiv · 1 citations
with Jiacheng Zou
Paper profile arXiv arXiv:2301.00292
Large dimensional latent factor modeling with missing observations and applications to causal inference
published2022 · Journal of Econometrics · 63 citations · first circulated 2019
with Ruoxuan Xiong
Paper profile Journal of Econometrics arXiv:1910.08273
Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira
published2021 · Journal of Business and Economic Statistics
Journal of Business and Economic Statistics
Interpretable Sparse Proximate Factors for Large Dimensions
published2021 · Journal of Business and Economic Statistics · 31 citations · first circulated 2018
with Ruoxuan Xiong
Journal of Business and Economic Statistics
Deep Learning Statistical Arbitrage
published2021 · Management Science · 4 citations
with Jorge Guijarro-Ordóñez, Greg Zanotti
Management Science
Understanding Systematic Risk: A High‐Frequency Approach
published2020 · The Journal of Finance · 111 citations · first circulated 2015
The Journal of Finance
Factors That Fit the Time Series and Cross-Section of Stock Returns
published2020 · Review of Financial Studies · 350 citations · first circulated 2018
with Martin Lettau
Review of Financial Studies
Estimating latent asset-pricing factors
published2020 · Journal of Econometrics · 186 citations · first circulated 2018
with Martin Lettau
Journal of Econometrics
On the existence of sure profits via flash strategies
published2019 · Journal of Applied Probability · 5 citations · first circulated 2017
with Claudio Fontana, Eckhard Platen
Journal of Applied Probability
Large-dimensional factor modeling based on high-frequency observations
published2018 · Journal of Econometrics · 116 citations · first circulated 2015
Journal of Econometrics
Change-Point Testing and Estimation for Risk Measures in Time Series
working paper2018 · arXiv · 1 citations
with Fan Lin, Peter W. Glynn, Junting Duan, Lin Fan
Paper profile arXiv arXiv:1809.02303
State-Varying Factor Models of Large Dimensions
published2018 · Journal of Business and Economic Statistics · 7 citations
with Ruoxuan Xiong
Paper profile Journal of Business and Economic Statistics arXiv:1807.02248
Contingent Capital, Tail Risk, and Debt-Induced Collapse
published2017 · Review of Financial Studies · 55 citations · first circulated 2013
with Nan Chen, Paul Glasserman, Behzad Nouri
Review of Financial Studies
Optimal stock option schemes for managers
published2013 · Review of Managerial Science · 3 citations
with An Chen
Review of Managerial Science
New performance-vested stock option schemes
published2012 · Applied Financial Economics · 7 citations · first circulated 2010
with An Chen, Klaus Sandmann
Applied Financial Economics

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.