Markus Pelger, PhD student, alums receive ICPM, IQAM research awards
Congratulations to Prof. Markus Pelger and his current and former PhD students for winning multiple research awards!
Prof. Pelger and co-authors including Sven Lerner, PhD student in the Institute for Computational and Mathematical Engineering (ICME) who is advised by Prof. Pelger, received the International Centre for Pension Management's (ICPM) Research Award, 2nd Prize. Their winning paper, Missing Financial Data, explores how to systematically deal with missing financial data. The ICPM Research Award seeks to reward reward innovation, practical applicability and research excellence on topics with practical relevance for pension organizations, according to ICPM.
Prof. Pelger and co-authors including MS&E alum Jason Zhu (PhD '21) and Luyang Chen (PhD '19), who studied in ICME and was advised by Prof. Pelger, received the 2022 Research Award from IQAM Research, the institute for capital market research at DekaBank. Their winning paper, Deep Learning in Asset Pricing, uses deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. According to IQAM, the Research Award is granted for innovative capital market research with a focus on investments, and the scientific board of IQAM Research ranks submissions based on their theoretical contribution as well as on their practical relevance.