I am a Senior Quantitative Researcher in the Investment Strategy Department at Sal. Oppenheim, one of Germany’s leading quantitative and research-driven investment managers, and a PhD Student at the Chair of Financial Econometrics at Ludwig Maximilian University (LMU) Munich. In September 2015 I have won the Best Paper Award at the Annual Meeting of the German Finance Association for my research on cross-sectional asset pricing using machine learning algorithms.
Research and Teaching Fields
My research focuses on asset pricing, forecasting, data science and household finance. I am interested in understanding and analyzing the drivers of asset prices. The academic evidence points to the fact that expected returns and risks are time-varying and partly predictable. A natural way is then to develop appropriate forecasting models to utilize this predictability. The growing availability of new data helps to tackle those challenges. In recent works I use machine learning algorithms to extract new information from big data. And last, understanding household decision making is key for developing proper investment advice.