Machine Learning, Econometrics, and AI in Finance

The Nonstationarity-Complexity Tradeoff in Return Prediction (with C. Huang, J.A. Sidaoui, K. Wang, and J. Zou). (preprint)

Data-Driven Dynamic Factor Modeling via Manifold Learning (with G. Baker and J.A. Sidaoui). (preprint)

Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate (with F. Li, H. Chen, J. Lin, A. Gupta, X. Tan, H. Zhao, G. Xu, Y. Nevmyvaka, and H. Lam). Major Revision at Management Science. (preprint)

A General Class of Model-Free Dense Precision Matrix Estimators (with M. Caner and M. Stojnic). (preprint)

Graph Machine Learning for Asset Pricing: Traversing the Supply Chain (with J. Sidaoui Gali and J. Zou). Revise and Resubmit, Journal of Financial Economics. (preprint)

Handling Sparse Non-negative Data in Finance (with Z. Qu). (preprint)

Causal Inference (C-inf) — Closed Form Expressions for Worst Case Typical Phase Transitions (with M. Stojnic). Proceedings of the 2023 IEEE International Symposium on Information Theory. (extended version preprint)

Phase Transitions: Explicit Relations for Sparse Vector and Low Rank Recovery (with M. Stojnic). Proceedings of the 2023 IEEE International Symposium on Information Theory (ISIT). Extended version: Sparse vector and low rank recovery phase transitions: uncovering the explicit relations. IEEE Transactions on Information Theory, Vol. 70, No. 12, 9239–9260, 2024.

A Continuous Time Framework for Sequential Goal-Based Wealth Management (with Y. Zhang). (preprint). Management Science, Vol. 70, No. 11, 664–7691, 2024.

Personalized Robo-Advising: Enhancing Investment through Client Interactions (with S. Olafsson and T. Zariphopoulou). Management Science, Vol. 68, No. 4, 2485–2512, 2022.

Robo-Advising: Learning Investor's Risk Preferences via Portfolio Choices (with H. Alsabah, O. Ruiz Lacedelli, and M. Stern). Journal of Financial Econometrics, Vol. 19, No. 2, 369–392, 2021. Invited Paper for the Special Issue on Recent developments/applications in machine learning, big data, and fintech.