The main purpose of this site is to make available the research material I have produced. After spending a few years as Assistant Professor (tenure-track) at UCLA, I decided to take a decade-long break from academia to become a stock trader. I made Managing Director in a global bulge-bracket Investment Bank. I have now returned to academia as Permanent Research Fellow in the Department of Economics of the University of Zurich. I am also interested in the Gold Franc.
Finance: Journal of Finance - "Robust structure without predictability: The 'Compass Rose' pattern of the stock market"
Statistics: Annals of Statistics - "Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size"
Economics: Journal of Political Economy - "Gain, loss and asset pricing"
Click to discover more about my research.