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Publications

by members of

Stanford University → Department of Management Science and Engineering

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2026

  1. Junting Duan & Markus Pelger, 2026, "Inference with AI-Generated Covariates," NBER Working Papers, National Bureau of Economic Research, Inc, number 35481, Jul.

2025

  1. Junting Duan & Markus Pelger, 2025, "Imputation-Powered Inference for Missing Covariates," NBER Working Papers, National Bureau of Economic Research, Inc, number 34535, Dec.

2023

  1. Kasper Johansson & Mehmet Giray Ogut & Markus Pelger & Thomas Schmelzer & Stephen Boyd, 2023, "A Simple Method for Predicting Covariance Matrices of Financial Returns," Papers, arXiv.org, number 2305.19484, May, revised Nov 2023.
  2. Junting Duan & Markus Pelger & Ruoxuan Xiong, 2023, "Target PCA: Transfer Learning Large Dimensional Panel Data," Papers, arXiv.org, number 2308.15627, Aug.
  3. Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023, "Machine-Learning the Skill of Mutual Fund Managers," CEPR Discussion Papers, Centre for Economic Policy Research, number 18129, Apr.

2022

  1. Jose Blanchet & Fernando Hernandez & Viet Anh Nguyen & Markus Pelger & Xuhui Zhang, 2022, "Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff," Papers, arXiv.org, number 2202.00871, Feb, revised Apr 2023.
  2. Markus Pelger & Jiacheng Zou, 2022, "Inference for Large Panel Data with Many Covariates," Papers, arXiv.org, number 2301.00292, Dec, revised Mar 2023.
  3. Damir Filipović & Markus Pelger & Ye Ye, 2022, "Stripping the Discount Curve - a Robust Machine Learning Approach," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-24, Mar.
  4. Damir Filipović & Markus Pelger & Ye Ye, 2022, "Shrinking the Term Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-61, Aug.

2021

  1. Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021, "Deep Learning Statistical Arbitrage," Papers, arXiv.org, number 2106.04028, Jun, revised Oct 2022.

2019

  1. Luyang Chen & Markus Pelger & Jason Zhu, 2019, "Deep Learning in Asset Pricing," Papers, arXiv.org, number 1904.00745, Mar, revised Aug 2021.
  2. Ruoxuan Xiong & Markus Pelger, 2019, "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers, arXiv.org, number 1910.08273, Oct, revised Jan 2022.

2018

  1. Markus Pelger & Ruoxuan Xiong, 2018, "State-Varying Factor Models of Large Dimensions," Papers, arXiv.org, number 1807.02248, Jul, revised Oct 2020.
  2. Lin Fan & Junting Duan & Peter W. Glynn & Markus Pelger, 2018, "Change-Point Testing for Risk Measures in Time Series," Papers, arXiv.org, number 1809.02303, Sep, revised Oct 2025.
  3. Lettau, Martin & Pelger, Markus, 2018, "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 12926, May.
  4. Lettau, Martin & Pelger, Markus, 2018, "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 13049, Jul.

2017

  1. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "On the existence of sure profits via flash strategies," Papers, arXiv.org, number 1708.03099, Aug, revised Jul 2019.
  2. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 385, Aug.

2013

  1. Paul Glasserman & Chulmin Kang & Wanmo Kang, 2013, "Stress Scenario Selection by Empirical Likelihood," Working Papers, Office of Financial Research, US Department of the Treasury, number 13-04, Apr.

2004

  1. Abbas, 2004, "Utility Probability Duality," General Economics and Teaching, University Library of Munich, Germany, number 0403001, Mar.

Journal articles

2024

  1. Luyang Chen & Markus Pelger & Jason Zhu, 2024, "Deep Learning in Asset Pricing," Management Science, INFORMS, volume 70, issue 2, pages 714-750, February, DOI: 10.1287/mnsc.2023.4695.

2023

  1. Xiong, Ruoxuan & Pelger, Markus, 2023, "Large dimensional latent factor modeling with missing observations and applications to causal inference," Journal of Econometrics, Elsevier, volume 233, issue 1, pages 271-301, DOI: 10.1016/j.jeconom.2022.04.005.
  2. Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023, "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, volume 150, issue 1, pages 94-138, DOI: 10.1016/j.jfineco.2023.07.004.

2022

  1. Markus Pelger & Ruoxuan Xiong, 2022, "State-Varying Factor Models of Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 3, pages 1315-1333, June, DOI: 10.1080/07350015.2021.1927744.
  2. Markus Pelger & Ruoxuan Xiong, 2022, "Interpretable Sparse Proximate Factors for Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 4, pages 1642-1664, October, DOI: 10.1080/07350015.2021.1961786.

2021

  1. Markus Pelger, 2021, "Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 4, pages 880-882, October, DOI: 10.1080/07350015.2021.1948420.

2020

  1. Markus Pelger, 2020, "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, volume 75, issue 4, pages 2179-2220, August, DOI: 10.1111/jofi.12898.
  2. Lettau, Martin & Pelger, Markus, 2020, "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 1-31, DOI: 10.1016/j.jeconom.2019.08.012.
  3. Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020, "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2274-2325.

2019

  1. Pelger, Markus, 2019, "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, volume 208, issue 1, pages 23-42, DOI: 10.1016/j.jeconom.2018.09.004.

2017

  1. Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2017, "Contingent Capital, Tail Risk, and Debt-Induced Collapse," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 11, pages 3921-3969.

2013

  1. An Chen & Markus Pelger & Klaus Sandmann, 2013, "New performance-vested stock option schemes," Applied Financial Economics, Taylor & Francis Journals, volume 23, issue 8, pages 709-727, April, DOI: 10.1080/09603107.2012.750448.

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