Florian Weigert

University of Neuchâtel | Full Professor of Financial Risk Management | 🇨🇭 🇩🇪

[Mathis Mörke @mathismoerke]

🚨New Paper Alert 🚨

We conduct a Bayesian analysis for the SDF in the equity options market:
- a Bayesian model averaging SDF outperforms
- SDF is characteristics-dense
- Highly likely factors: IV-RV, option momentum, jump risk

Paper ➡️https://t.co/M2vVwAYpNZ

[Olivier P. Müller @olivierpmueller]

Excellent article in German from Finanz und Wirtschaft journalist @jprogin about the @CFAinstitute Research Challenge in Switzerland 2024 which a team from @UniNeuchatel won. https://t.co/zvdrrvNH4F @florian_weigert @Eelco_Fiole @FuW_News

[Florian Weigert @florian_weigert]

Michael Weber will be our academic keynote speaker at the Alpine Finance Summit (AFS) 2024. Submit your fully developed working paper until March, 15, 2024 and have the opportunity to join the AFS in August 2024.

[Florian Weigert @florian_weigert]

What factors drive the behavior of individual (delta-hedged) option returns in the cross-section and over time? Check out our new paper "A Bayesian SDF for Equity Options" (NIclas Käfer, @mathismoerke @florian_weigert, and Tobias Wüst).

SSRN download: https://t.co/q08H4CSief

[Florian Weigert @florian_weigert]

Find more information on the AFS here: https://t.co/gbuPv2Bvjj

[Florian Weigert @florian_weigert]

It is a long-term goal becoming finally true… I am happy to announce that the first ALPINE FINANCE SUMMIT (AFS) will take place in summer 2024.

Submit your fully developed working paper until March, 15, 2024 and have the opportunity to join the AFS in August 2024.

[Florian Weigert @florian_weigert]

Our paper “Unobserved Performance of Hedge Funds” (Vikas Agarwal, Stefan Ruenzi, and Florian Weigert) is now forthcoming at the Journal of Finance.

Have a look at the current working paper version here: https://t.co/0u71SYSZdC

[Florian Weigert @florian_weigert]

@achenfinance We have not studied in the paper WHY different nonlinear models performing better than others. @g_coqueret Thank you for the paper. Interesting!

[Florian Weigert @florian_weigert]

Our paper "Option Return Predictability with Machine Learning and Big Data" is now in print in the Review of Financial Studies. Have a read on it!

[Florian Weigert @florian_weigert]

@CavaliereGiu @beckmeyerheiner @mathismoerke Thank you for featuring our work!

[Florian Weigert @florian_weigert]

@Andrew___Baker Thank you very much!

[Florian Weigert @florian_weigert]

RFS Link: https://t.co/Yf3Y6khVvF

SSRN Link: https://t.co/XP16cSqhHH

[Florian Weigert @florian_weigert]

@herman08015 @HECParis Congratulations Georg! Now it is time to tackle the big research questions!!! 👍😊

[Society for Financial Studies @SFSjournals]

#RFS #Forthcoming: Option Return Predictability with Machine Learning and Big Data

Turan G Bali @Georgetown
Heiner Beckmeyer @beckmeyerheiner
Mathis Mörke @mathismoerke
Florian Weigert @florian_weigert

https://t.co/ljcYVJOQaH

[Florian Weigert @florian_weigert]

@GertjanV_ @beckmeyerheiner @mathismoerke @SFSjournals Thank you, Gertjan!

[Florian Weigert @florian_weigert]

@a_manconi @beckmeyerheiner @mathismoerke @SFSjournals Thank you, Alberto!

[Florian Weigert @florian_weigert]

Our paper "Option Return Predictability with Machine Learning and Big Data" (Turan G. Bali, @beckmeyerheiner, @mathismoerke, @florian_weigert) has been accepted for publication by the Review of Financial Studies (@SFSjournals).

Have a look at it here:
https://t.co/XP16cSqPxf

[Florian Weigert @florian_weigert]

@JGilBazo @beckmeyerheiner @mathismoerke @SFSjournals Thank you, Javier!

[Florian Weigert @florian_weigert]

I am looking for a new Ph.D. student 🎓starting in March 2023. Are you interested in pursuing research in the intersection of mutual funds and machine learning? Please apply here: https://t.co/MHjFk7UHZG

[Florian Weigert @florian_weigert]

We are looking for a new colleague! Full Professor or Tenure-Track Assistant Professor in Finance with a start in August 2023. Application deadline: 31 August, 2022. Specialization: Empirical Asset Pricing. Write to me in case you are interested.