Research

Tree-based conditional portfolio sorts: The relation between past and future stock returns,
(former title: Deep conditional portfolio sorts: The relation between past and future stock returns)
with Tom Zimmermann,

The Relation between Stock Market Risk and Return
with Stefan Mittnik,

  • Chapter 2 of my PhD Thesis: Link

Modern Asset Management
with Christian Maschner and Martin Schmitz

Applications of Textual Analysis and Machine Learning in Asset Pricing
My 2018 Phd Thesis and the Slides from my Defense

  • 2020 – „Advancement Award for Artificial Intelligence in the Financial Sector“ of Plexus Investments

Applied Research

Interview with Linda Kreitzman from University of Berkeley – November 2020
https://www.hqam.com/de/artikel/steady-innovation-is-the-key-for-success

Factor of the month: Momentum – March 2021
https://www.hqam.com/storage/content/artikel/189-hqam-faktor-des-monats-momentum/2021-03-momentum.pdf

Factor of the month: Free Cash Flow – April 2021
https://www.hqam.com/storage/content/artikel/197-freier-cashflow-mehr-herausholen-mit-kuenstlicher-intelligenz/2021-04-free-cash-flow.pdf

Factor of the month: Value – May 2021
https://www.hqam.com/storage/content/artikel/207-value-ist-nicht-gleich-value/2021-05-value.pdf

Factor of the month: Traditional factor strategies – June 2021
https://www.hqam.com/storage/content/artikel/216-traditionelle-faktorstrategien/2021-06-faktoren-eng.pdf

Factor of the month: Momentum Europa vs US – July 2021
https://www.hqam.com/storage/content/artikel/227-momentum-besser-als-buffett/2021-07-momentum-englisch.pdf

Factor of the month: Low Volatility – August 2021
https://www.hqam.com/storage/content/artikel/243-low-volatility/2021-08-low-vola-englisch.pdf

Factor of the month: Small Caps with high Momentum – September 2021
https://www.hqam.com/storage/content/artikel/1-1-3-interaktionen-lohnen-sich/2021-09-interaktion-englisch.pdf