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Working Paper

Empirical Asset Pricing via Machine Learning

October 17, 2018 - Shihao Gu Bryan T. Kelly Dacheng Xiu

We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.

AQR Insight Award

Characteristics Are Covariances: A Unified Model of Risk and Return

October 18, 2018 - Bryan T. Kelly Seth Pruitt Yinan Su

We propose a new modeling approach for the cross section of returns that helps determine whether excess returns to factors are driven by compensation for risk, or an anomaly effect.

Working Paper

Credit Implied Volatility

March 10, 2015 - Bryan T. Kelly Gerardo Manzo Diogo Palhares

This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.

Working Paper

Forecasting the Distribution of Option Returns

December 12, 2018 - Roni Israelov Bryan T. Kelly

We propose a method for constructing conditional option return distributions.