Semyon Malamud

The Virtue of Complexity in Return Prediction,

joint with Bryan Kelly and Kangying Zhou, 

Journal of Finance (forthcoming)

Illiquidity and Higher Cumulants,

joint with Sergei Glebkin and Alberto Teguia, 

Review of Financial Studies (forthcoming)

Principal Portfolios,

joint with Bryan Kelly and Lasse Pedersen, 

Journal of Finance (forthcoming)

Dominant Currency Debt,

with Egemen Eren,

Journal of Financial Economics, 2022, 144, Issue 2, 571-589

Liquidity, Innovation, and Endogenous Growth,

with Francesca Zucchi,

Journal of Financial Economics,  2019, 132 (2), 519-541.

Decentralized Exchange,

with Marzena Rostek,

American Economic Review, 2017, 107(11), 3320-3362.

Non-Myopic Betas,

with Grigory Vilkov,

Journal of Financial Economics, 2018, 129(2), 357-381.

Capital Supply Uncertainty, Cash Holdings, and Investment,

with Julien Hugonnier and Erwan Morellec,

Review of Financial Studies, 2015, 28(2), 391-445.

Credit Market Frictions and Capital Structure Dynamics,

with Julien Hugonnier and Erwan Morellec,

Journal of Economic Theory, 2015, 157, 1130-1158

Information Percolation in Segmented Markets,

with Darrell Duffie and Gustavo Manso,

Journal of Economic Theory, 2014, 153, 1-32

Optimal Incentives and Securitization of Defaultable Assets,

with Huaxia Rui and Andrew Whinston,

Journal of Financial Economics, 2013, 107(1), 111-135

Endogenous Completeness of Diffusion Driven Equilibrium Markets,

with Julien Hugonnier and Eugene Trubowitz,

Econometrica, 2012, 80, 1249-1270

Financial Markets Equilibrium with Heterogeneous Agents,

with Jaksa Cvitanic, Elyes Jouini and Clotilde Napp,

Review of Finance, 2012, 16(1), 285-321

Price Impact and Portfolio Impact,

with Jaksa Cvitanic

Journal of Financial Economics, 2011, 100(1), 201-225

The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation,

with Darrell Duffie and Gustavo Manso,

Journal of Economic Theory, 2010, 145(4), 1574-1601

Information Percolation with Equilibrium Search Dynamics,

with Darrell Duffie and Gustavo Manso,

Econometrica, 2009, 77, 1513-1574

Optimal Reinsurance with Multiple Tranches,

with Huaxia Rui and Andrew Whinston,

Journal of Mathematical Economics, 2016, Volume 65, 71-82

Non-myopic Optimal Portfolios in Viable Markets,

with Jaksa Cvitanic,

Mathematics and Financial Economics, 2014, 8(1), 71-108

Indifference Pricing for Power Utilities,

with Eugene Trubowitz and Mario Wuethrich,

Mathematics and Financial Economics, 2013, 7(3), 247-280

Convexity Bounds for BSDE Solutions, with Applications to Indifference Valuation,

with Christoph Frei and Martin Schweizer,

Probability Theory and Related Fields, 2011, 150, 219-255

Relative Extinction of Heterogeneous Agents,

with Jaksa Cvitanic,

B. E. Journal of Theoretical Economics, 2010, 10(1)

Market Consistent Pricing of Insurance Products,

with Eugene Trubowitz and Mario Wuethrich,

Astin Bulletin, 2008, 38(2), 483-526

Universal Bounds for Asset Prices in Heterogenous Economies,

Finance and Stochastics, 2008, 12, 411-422

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogenous Equilibria,

Finance and Stochastics, 2008, 12, 245-264

The Structure of Optimal Consumption Streams in General Incomplete Markets,

with Eugene Trubowitz,

Mathematics and Financial Economics, 2007, 1, 129-161

Money Market Funds and the Pricing of Near-Money Assets,

joint with Sebastian Doerr and Egemen Eren

Universal Portfolio Shrinkage,

joint with Bryan Kelly, Fabio Trojani, and Mohammad Pourmohammadi

Large (and Deep) Factor Models,

joint with Bryan Kelly, Boris Kuznetsov, and Teng Andrea Xu

An Intermediation-Based Model of Exchange Rates, 

with Andreas Schrimpf and Yuan Zhang

Deep Learning from Implied Volatility Surfaces, 

joint with Bryan Kelly, Boris Kuznetsov, and Teng Andrea Xu

Price Formation in the Foreign Exchange Market, 

joint with Sergei Glebkin, Serge Kassibrakis, and Alberto Teguia

Strategic Trading with Wealth Effects,

joint with Sergei Glebkin and Alberto Teguia

Complexity in Factor Pricing Models, 

joint with Antoine Didisheim, Barry Ke, and Bryan Kelly

A Simple Algorithm for Scaling Up Kernel Methods,

joint with Teng Andrea Xu and Bryan Kelly

Benign Autoencoders,

joint with Andreas Schrmpf, Andrea Xu, Giuseppe Matera, and Antoine Didisheim

Machine Learning and the Implementable Efficient Frontier,

joint with Theis Ingerslev Jensen, Bryan Kelly, and Lasse Pedersen

Asset Pricing with “Buy Now, Pay Later”

joint with Neng Wang and Yuan Zhang

Deep Regression Ensembles,

joint with Antoine Didisheim and Bryan Kelly

Signaling with Debt Currency Choice,

joint with Egemen Eren and Haonan Zhou

The Virtue of Complexity in Return Prediction,

joint with Bryan Kelly and Kangying Zhou

Persuasion by Dimension Reduction,

joint with Andreas Schrimpf

Learning (Not) to Trade: Lindy’s Law in Retail Traders,

joint with Teodor Godina, Serge Kassibrakis, Alberto Teguia, and Jiahua Xu