Markus Pelger

Stanford University - Department of Management Science & Engineering

Assistant Professor

473 Via Ortega

Stanford, CA 94305-9025

United States

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 3,131

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15,316

SSRN CITATIONS
Rank 5,484

SSRN RANKINGS

Top 5,484

in Total Papers Citations

178

CROSSREF CITATIONS

67

Scholarly Papers (23)

1.

Deep Learning in Asset Pricing

Number of pages: 75 Posted: 04 Apr 2019 Last Revised: 05 Aug 2021
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 5,314 (1,919)
Citation 34

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM

2.

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

Number of pages: 59 Posted: 19 Dec 2019 Last Revised: 20 Sep 2021
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 2,033 (9,793)
Citation 16

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

Factors That Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 61 Posted: 01 Aug 2018 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 1,224 (21,193)
Citation 13

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Cross Section Of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Factors that Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 60 Posted: 01 Aug 2018 Last Revised: 04 Dec 2021
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 53 (481,462)
Citation 2

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Factors that Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 62 Posted: 16 Jul 2018 Last Revised: 30 Jul 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 2 (825,463)
Citation 2
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

4.

Deep Learning Statistical Arbitrage

Number of pages: 59 Posted: 08 Jun 2021 Last Revised: 25 Oct 2021
Stanford University - Department of Mathematics, Stanford University - Department of Management Science & Engineering and Stanford University, School of Engineering, Management Science & Engineering
Downloads 1,122 (24,612)

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statistical arbitrage, pairs trading, machine learning, deep learning, big data, stock returns, convolutional neural network, transformer, attention, factor model, market efficiency, investment

5.

Understanding Systematic Risk: A High-Frequency Approach

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 24 Aug 2015 Last Revised: 23 Mar 2020
Markus Pelger
Stanford University - Department of Management Science & Engineering
Downloads 845 (36,700)
Citation 14

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Systematic Risk, High-dimensional Data, High-Frequency Data, Latent Factors, PCA, Jumps, Cross-Section of Returns, Time-Varying Risk, Industry Factors

6.
Downloads 669 ( 50,261)
Citation 15

Estimating Latent Asset-Pricing Factors

Number of pages: 45 Posted: 21 May 2018 Last Revised: 13 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 652 (51,352)

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Estimating Latent Asset-Pricing Factors

Number of pages: 44 Posted: 25 May 2018 Last Revised: 08 Oct 2021
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 16 (703,613)
Citation 7

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Estimating Latent Asset-Pricing Factors

Number of pages: 46 Posted: 15 May 2018 Last Revised: 11 Jun 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 1 (838,783)
Citation 8
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

7.

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Number of pages: 47 Posted: 28 Oct 2019 Last Revised: 10 Nov 2021
Ruoxuan Xiong and Markus Pelger
Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 579 (60,445)
Citation 4

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Factor Analysis, Principal Components, Synthetic Control, Causal Inference, Treatment Effect, Missing Entry, Large-Dimensional Panel Data, Large N and T, Matrix Completion

8.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 574 (61,132)
Citation 19

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contingent convertibles, bail-in, tail risks, rollover risk

9.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 125 Posted: 25 Mar 2015 Last Revised: 12 May 2018
Markus Pelger
Stanford University - Department of Management Science & Engineering
Downloads 453 (82,096)
Citation 21

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Systematic risk, High-dimensional data, High-frequency data, Latent factor model, PCA, Jumps, Semimartingales, Approximate factor model, Number of factors

10.

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

Number of pages: 89 Posted: 10 May 2012
Markus Pelger
Stanford University - Department of Management Science & Engineering
Downloads 419 (89,697)
Citation 2

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Contingent Convertible Bond, Banking Regulation, Subprime Mortgage Crisis, Structural Model, Corporate Finance, Kou Processes, Jump Diffusion Processes

11.

State-Varying Factor Models of Large Dimensions

Number of pages: 36 Posted: 01 Feb 2018 Last Revised: 15 Oct 2020
Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 389 (97,708)
Citation 11

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Factor Analysis, Principle Components, State-Varying, Nonparametric, Kernel-Regression, Large-Dimensional Panel Data, Large N and T

12.

Internet Appendix for Deep Learning in Asset Pricing

Number of pages: 51 Posted: 11 Jun 2020 Last Revised: 11 Sep 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 315 (123,555)

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Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM

13.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

Columbia Business School Research Paper No. 13-90
Number of pages: 49 Posted: 29 Nov 2013 Last Revised: 18 Jun 2015
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 308 (126,570)
Citation 8

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Contingent convertible debt, bail-in debt, capital structure, too big to fail

14.

Interpretable Sparse Proximate Factors for Large Dimensions

Number of pages: 81 Posted: 21 May 2018 Last Revised: 08 Jul 2021
Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 245 (160,023)
Citation 7

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Factor Analysis, Principle Components, Sparse Loading, Interpretability, Large-Dimensional Panel Data, Large N and T

15.

New Performance-Vested Stock Option Schemes

Applied Financial Economics, Forthcoming
Number of pages: 41 Posted: 29 May 2010 Last Revised: 12 Nov 2012
An Chen, Markus Pelger and Klaus Sandmann
University of Ulm - Institute of Insurance Science, Stanford University - Department of Management Science & Engineering and University of Bonn - The Bonn Graduate School of Economics
Downloads 215 (181,285)
Citation 1

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Executive Stock Options, Asian Options, Parisian Options

16.

How Relative Compensation Can Lead to Herding Behavior

Number of pages: 34 Posted: 15 Feb 2013 Last Revised: 22 Dec 2013
An Chen and Markus Pelger
University of Ulm - Institute of Insurance Science and Stanford University - Department of Management Science & Engineering
Downloads 191 (202,095)
Citation 1

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relative compensation, management compensation, herding, risk-aversion

17.

Supplemental Appendix - Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin and Pelger, Markus, Supplemental Appendix for "Factors that Fit the Time Series and Cross-Section of Stock Returns”, 2019
Number of pages: 98 Posted: 06 Dec 2019 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 117 (300,022)
Citation 2

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

18.

Optimal Stock Option Schemes for Managers

Forthcoming, Review of Managerial Science
Number of pages: 34 Posted: 18 Jan 2012 Last Revised: 16 Aug 2013
An Chen and Markus Pelger
University of Ulm - Institute of Insurance Science and Stanford University - Department of Management Science & Engineering
Downloads 70 (413,303)
Citation 2

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

19.

Optimal Payoff Schemes for Managers (Asymmetric Information Case)

Number of pages: 28 Posted: 18 Jan 2012
An Chen and Markus Pelger
University of Ulm - Institute of Insurance Science and Stanford University - Department of Management Science & Engineering
Downloads 68 (419,825)

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

20.

On the Existence of Sure Profits via Flash Strategies

Number of pages: 16 Posted: 08 Aug 2017 Last Revised: 16 Sep 2018
Claudio Fontana, Markus Pelger and Eckhard Platen
University of Padova, Department of Mathematics, Stanford University - Department of Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 57 (458,519)
Citation 2

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Arbitrage, predictable time, semimartingale; high-frequency trading, right-continuity

21.

Internet Appendix for State-Varying Factor Models of Large Dimensions

Number of pages: 84 Posted: 08 Dec 2020
Markus Pelger and Ruoxuan Xiong
Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 33 (567,057)

Abstract:

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Factor Analysis, Principal Components, State-Varying, Nonparametric, Kernel- Regression, Large-Dimensional Panel Data, Large N and T

22.

Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Number of pages: 103 Posted: 14 Jan 2021 Last Revised: 10 Nov 2021
Ruoxuan Xiong and Markus Pelger
Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 16 (679,346)
Citation 3

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Factor Analysis, Principal Components, Synthetic Control, Causal Inference, Treatment Effect, Missing Entry, Large-Dimensional Panel Data, Large N and T , Matrix Completion

23.

Machine-Learning the Skill of Mutual Fund Managers

Number of pages: 56
University of Rochester - Simon Business School, Stanford University, Stanford University - Department of Management Science & Engineering and Columbia University Graduate School of Business
Downloads 5

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Mutual fund performance, fund flow, momentum, machine learning, sentiment, big data, neural networks

Other Papers (1)

Total Downloads: 128
1.

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

Number of pages: 153 Posted: 13 May 2020 Last Revised: 20 Sep 2021
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 128

Abstract:

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