Abalfazl Zareei
Email: abalfazl.zareei@sbs.su.se
abalfazl.zareei@gmail.com
I am an Assistant Professor of Finance at the Stockholm Business School, Stockholm University.
I obtained my Ph.D. in Finance from Carlos III de Madrid University. My doctoral research delved into the application of network theory to the portfolio selection process. My primary research interests lie in empirical asset pricing, machine learning/AI, and network analysis.
Global Liquidity Panel Project: I have had the privilege of participating in an extensive global market microstructure project, analyzing petabytes of high-frequency data from various international stock exchanges. You can follow our progress here.
highlights
| Mar 23, 2023 | A new version of “Global Realignment in Financial Market Dynamics” with Monica Billio, Andrew Lo, Loriana Pelizzon, Mila Getmansky Sherman is out. Check in SSRN. |
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| Jan 25, 2023 | Our paper “Machine Learning and the Stock Market” has been accepted for publication in the Journal of Financial and Quantitative Analysis (JFQA). |
| Jan 2, 2023 | A new version of “Optimal versus Naive Diversification: False Discoveries, Transaction Costs and Machine Learning” is out. |
| Sep 27, 2022 | I am presenting the paper, “Global Realignment in Financial Market Dynamics” at the CEPR Conference on Geopolitics and Economics. The presentation is livestreamed. |
| Jul 2, 2022 | I presented the paper, “Following Insiders” with Jonathan Brogaard (SSRN draft will be out soon) at 28th Finance Forum (the Annual Meeting of the Spanish Finance Association). |
| Jan 9, 2022 | I presented the paper, “Global Realignment in Financial Market Dynamics” at the AFA 2022. |
| Jan 1, 2022 | I was part of the project “Non-Standard Errors” in which 164 teams test six hypotheses (market microstructure) on the same sample. The paper is out on SSRN. |
| Jul 9, 2021 | I presented the paper, “Global Realignment in Financial Market Dynamics” at the CICF 2010 (2021 China International Conference in Finance). |
| Jun 2, 2021 | The paper, “Global Realignment in Financial Market Dynamics” with Monica Billio, Andrew Lo, Loriana Pelizzon, Mila Getmansky Sherman is accepted in the AFA. |
| Apr 2, 2021 | The paper “Using a Hedging Network to Minimize Portfolio Risk” with Silvia Mayoral and David Moreno is accepted in Finance Research Letters. |
selected publications
- WP
- JF
- WP
- WP
- JFQAMachine Learning and the Stock MarketPublished in the Journal of Financial and Quantitative Analysis (JFQA) 2022
- WPOptimal versus Naive Diversification: False Discoveries, Transaction Costs and Machine LearningSSRN 2022
- JBF