Publications/Conferences


Publications

“The Promises and Pitfalls of Machine Learning for Predicting Cross-Sectional Stock Returns,” (Co-authored with Harald Lohre, David Mischlich, Yifea Shea, and Maximilian Stroh), Journal of Financial Data Science, Spring 2021.

• Winner of CFA Germany Investment Research Award 2021.
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“Consumer Spending and the Cross Section of Stock Returns,” (Co-Authored with Tarun Gupta and Viorel Roscovan), Journal of Portfolio Management, July 2022.

• Winner of CFA Germany Investment Research Award 2022.
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“Machine Learning: Building Factors from Unstructured Data,” (Co-Authored with Tarun Gupta), Risk & Reward, 2nd Issue, Invesco, 2021.
“Invesco’s Guide to Alternative Data,” (Co-Authored with Tarun Gupta), Risk & Reward, 4th Issue, Invesco, 2020.
“A Forecast Combination Approach to Equity Factor Timing” (Co-authored with Michael Fraikin and Harald Lohre), Risk & Reward, 1st Issue, Invesco, 2020.
• Featured in June 2020 issue of Journal of Quantitative Research, Economics, and Strategy by Wolfe Research).
“Patent Data as a Driver of Equity Returns” (Co-authored with Michael Fraikin), Risk & Reward, 2nd Issue, Invesco, 2019.
“Factor Investing: Building Balanced Factor Portfolios” (Co-authored with Andrew Waisburd), Risk & Reward, 1st Issue, Invesco, 2017.

Conferences

Presenter at the Neudata Summer Summit on “What is the Promise (or Pitfalls) of Machine Learning for Alternative Data?” June 2021.
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Panel discussant on transaction data at the Neudata Winter Summit, December 2020.