/channels/taxonomy/term/11958/all en /channels/channels/news/reproducibility-management-science-355997 <p><strong>Authors: </strong>Miloš Fišar, Ben Greiner, Christoph Huber, Elena Katok,<br /> Ali I. Ozkes, and the Management Science Reproducibility Collaboration*</p> <p><b>*Co-authors included among the Collaboration are four members of the Desautels community:<br /> <a href="/desautels/ruslan-goyenko">Ruslan Goyenko</a></b>,<b> <a href="/desautels/brian-rubineau">Brian Rubineau</a></b>,<b> <a href="/desautels/chengyu-zhang">Chengyu Zhang</a> </b>and Yaping Zheng (now at U. of Alberta)</p> Mon, 11 Mar 2024 14:33:29 +0000 webfull 198449 at /channels /channels/channels/news/ai-can-be-powerful-tool-asset-managers-355434 <p>Artificial intelligence isn’t a crystal ball, but it can analyze exponentially more data than any human can, and that has the potential to transform the financial services industry. “It’s the most powerful tool I’ve ever seen applicable to investments,” says <a href="/desautels/ruslan-goyenko"><strong>Professor Ruslan Goyenko</strong></a> in an interview with Benefits Canada. Asset managers can use it to improve active management, and to weather challenging market conditions. “It makes the current investment book obsolete.</p> Wed, 14 Feb 2024 18:35:57 +0000 webfull 197796 at /channels /channels/channels/news/firm-labs-seeks-make-ai-tools-more-accessible-individual-investors-340320 <p>Artificial intelligence (AI) has changed the way the way that equities are managed – but it has mostly been used by institutions. Prof. <a href="//www.mcgill.ca/desautels/ruslan-goyenko"><strong>Ruslan Goyenko</strong></a> wants to change that. Goyenko is the Scientific Director of Finance Innovation and Risk Management (FIRM) Labs, which brings together financial economists and computer scientists to develop AI-driven portfolio management models that it will distribute to the public.</p> Tue, 12 Jul 2022 19:12:55 +0000 webfull 180871 at /channels /channels/channels/event/fiams-first-international-ai-conference-capital-markets-november-2-3-2021-334280 <h2>AI In Capital Markets: Our Future is Now</h2> <h4>AI: Humanity's most disruptive technology<br /> Issues, Challenges, Opportunities for the Global Financial Community</h4> Wed, 20 Oct 2021 13:43:39 +0000 webfull 174103 at /channels /channels/channels/news/2019-sshrc-grants-awarded-301633 <hr /><p><big>Congratulations to the Desautels professors who received 2019 SSHRC Grants.</big></p> <p><strong>SSHRC Insight Development Grants</strong></p> Fri, 11 Oct 2019 16:21:36 +0000 webfull 154338 at /channels /channels/channels/news/professor-ruslan-goyenko-awarded-2019-sshrc-insight-grant-301516 <p><a href="//www.mcgill.ca/desautels/ruslan-goyenko"><strong>Ruslan Goyenko</strong></a>, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant</p> Thu, 10 Oct 2019 14:30:03 +0000 webfull 154209 at /channels /channels/channels/news/ruslan-goyenko-paper-illiquidity-premia-equity-option-markets-selected-editors-choice-review-286310 <p>Professor <a href="//www.mcgill.ca/desautels/ruslan-goyenko"><strong>Ruslan Goyenko</strong></a>'s paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of <em>Review of Financial Studies</em>.</p> Thu, 29 Mar 2018 18:22:35 +0000 webfull 137006 at /channels /channels/channels/news/illiquidity-premia-equity-options-market-278703 <p><strong>Authors:</strong> Peter Christoffersen, <a href="//www.mcgill.ca/desautels/ruslan-goyenko"><strong>Ruslan Goyenko</strong></a>, Kris Jacobs, Mehdi Karoui</p> <p><strong>Publication: </strong><em>Review of Financial Studies</em>, Vol. 31, No. 3, March 2018</p> <p><strong>Abstract:</strong></p> <p>Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3:4% per day for at-the-money calls and 2:5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.</p> <p><strong>Read full article: </strong><a href="https://academic.oup.com/rfs/article/doi/10.1093/rfs/hhx113/4371415/Illiquidity-Premia-in-the-Equity-Options-Market" target="_blank"><em>Review of Financial Studies</em></a></p> <p> Tue, 17 Oct 2017 16:32:09 +0000 webfull 131992 at /channels /channels/news/mutual-funds-r2-predictor-performance-review-financial-studies-225316 <p><strong>Authors:</strong> Amihud, Yakov; <strong>Goyenko, Ruslan Y.</strong></p> <p><strong>Publication:</strong> Review of Financial Studies, March 2013</p> <p><strong>Abstract:</strong></p> Thu, 07 Mar 2013 19:03:32 +0000 webfull 95066 at /channels