Congratulations to Professor Markus Pelger, who along with two PhD students—Jason Zhu (MS&E) and Luyang Chen (ICME)—received the Best Paper Award at the Utah Winter Finance Conference in February 2020.
The group was awarded for their paper, "Deep Learning in Asset Pricing."
The Utah Winter Finance Conference is one of the highest ranked conferences in finance, and accepted only 10 papers out of 360 submissions.
Prof. Pelger's research focuses on understanding and managing financial risk. He develops mathematical financial models and statistical methods, analyzes financial data and engineers computational techniques. His research is divided into three streams: stochastic financial modeling, high-frequency statistics and statistical learning in high-dimensional financial data sets. His most recent work includes developing machine learning solutions to big-data problems in empirical risk management and asset pricing.
To dive deeper into the paper, you can watch Prof. Pelger's presentation at the Utah Winter Finance conference.