Publications

Jonathan Chassot, Francesco Audrino (2024). HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning.

Jonathan Chassot, Michael Creel (2023). Constructing Efficient Simulated Moments using Temporal Convolutional Networks.

PDF Code Slides

Jonathan Chassot (2023). Deep Reinforcement Learning for Portfolio Management: A Simulation Study.

Francesco Audrino, Jonathan Chassot, Chen Huang, Michael Knaus, Michael Lechner, Juan-Pablo Ortega (2022). How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning. Journal of Financial Econometrics.