David Ardia
Welcome
I am an IVADO professor in the Department of Decision Sciences at HEC Montréal. Trained in quantitative methods for finance, I have a keen interest in ML/NLP methods for asset allocation, risk management, and economic forecasting. In 2018, the Swiss Risk Association awarded me “Swiss risk manager of the year.” I serve as an associate editor at the International Journal of Forecasting and the Journal of Statistical Software. I am an elected member of the ISI, a regular member at CRM, Fin-ML, GERAD, and Quantact, an associate researcher at OBVIA and the Penner Institute, and an instructor at DataCamp.
Open-source
AdMit / AlphaBeta / bayesGARCH / bidask / COVID19 Data Hub / DEoptim / GAS / MSGARCH / PeerPerformance / RiskPortfolios / sentometrics
Data
Bid-ask spread estimates
List of pump-and-dump events
Media climate change concerns index
Economic policy uncertainty for Quebec
U.S. topical economic sentiment indices
Video
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
Café scientifique IVADO
La science ouverte
Quand les machines analysent les textes de médias et les utilisent pour prédire l’avenir
Climate change concerns and the performance of green versus brown stocks
Markov-Switching GARCH models in R: The MSGARCH package
Financial analytics in spreadsheets
Working papers
Climate change concerns and option-implied stock returns, with Boyer
Optimal text-based time-series indices, with Bluteau
High-dimensional mean-variance spanning tests, with Laurent & Sessinou
Revisiting Boehmer et al. (2021): Recent period, alternative method, different conclusions, with Aymard & Cenesizoglu
Examining high-frequency patterns in Robinhood users’ trading behavior, with Aymard & Cenesizoglu
Measuring uncertainty and uncertainty dispersion from a large set of model predictions, with Dufays, IIF-SAS research award
Publications (preprints)
2024
Linking frequentist and Bayesian change-point methods, Journal of Business & Economic Statistics, with Dufays & Ordas, Econometric Society World Congress 2020, NBER-NSF Time Series Conference 2023 (poster)
Efficient estimation of bid-ask spreads from open, high, low, and close prices, Journal of Financial Economics, with Guidotti & Kroencke, EFA 2022
Twitter and cryptocurrency pump-and-dumps, International Review of Financial Analysis, with Bluteau
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified, Journal of Financial Economics, with Barras, Scaillet & Gagligardini, EUROFIDAI-ESSEC Paris December Finance Meeting 2021, WFA 2021, Hedge Fund Research Conference 2022, AFFI 2022 Best Asset Pricing Paper Award, EFMA 2022 Award Nomination, FMA 2022 Award Nomination, NBER Summer Institute 2023
Thirty years of academic finance, Journal of Economic Surveys, with Bluteau & Meghani
Climate change concerns and the performance of green versus brown stocks, Management Science, with Bluteau, Boudt & Inghelbrecht, NBB research award, Featured in The New York Times, Les Affaires, News World Nation, Advisor Perspectives & Central Banking Newsdesk
Factor exposure heterogeneity in green and brown stocks, Finance Research Letters, with Bluteau, Lortie-Cloutier & Tran
Media abnormal tone, earnings announcements, and the stock market, Journal of Financial Markets, with Bluteau & Boudt
How easy is it for investment managers to deploy their talent in green and brown stocks?, Finance Research Letters, with Bluteau & Tran
Properties of the Margrabe Best-of-two strategy to tactical asset allocation, International Review of Financial Analysis, with Boudt, Hartmann & Nguyen
The R package sentometrics to compute, aggregate, and predict with textual sentiment, Journal of Statistical Software, with Bluteau, Borms & Boudt
A century of economic policy uncertainty through the French-Canadian lens, Economics Letters, with Bluteau & Kassem, Featured in IVADO Newsletter, CScience.ca & La Presse
COVID-19 Data Hub, Journal of Open Source Software, with Guidotti, Winner eRum2020 CovidR contest, Featured in LexTex Institute, CScience.ca, Quartier L!bre, R Consortium, UniNE & HEC Montréal
Econometrics meets sentiment: An overview of methodology and applications, Journal of Economic Surveys, with Algaba, Bluteau, Borms & Boudt
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values, International Journal of Forecasting, with Bluteau & Boudt, IJF best paper 2018-2019
Markov-switching GARCH models in R: The MSGARCH package, Journal of Statistical Software, with Bluteau, Boudt, Catania & Trottier
Regime changes in Bitcoin GARCH volatility dynamics, Finance Research Letters, with Bluteau & Ruede
Generalized autoregressive score models in R: The GAS package, Journal of Statistical Software, with Boudt & Catania
Downside risk evaluation with the R package GAS, R Journal, with Boudt & Catania
Forecasting risk with Markov-switching GARCH models: A large-scale performance study, International Journal of Forecasting, with Bluteau, Boudt & Catania, IIF-SAS research award
Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation, Journal of Time Series Econometrics, with Bluteau & Hoogerheide
Beyond risk-based portfolios: Balancing performance and risk contributions in asset allocation, Quantitative Finance, with Boudt & Nguyen, QF feature article
The peer performance ratios of hedge funds, Journal of Banking & Finance, with Boudt, R/Finance award
The impact of parameter and model uncertainty on market risk predictions from GARCH-type models, Journal of Forecasting, with Kolly & Trottier
The impact of covariance misspecification in risk-based portfolios, Annals of Operations Research, with Bolliger, Boudt & Gagnon-Fleury
A new bootstrap test for multiple assets joint risk testing, Journal of Risk, with Gatarek & Hoogerheide
nse: Computation of numerical standard errors in R, Journal of Open Source Software, with Bluteau
RiskPortfolios: Computation of risk-based portfolios in R, Journal of Open Source Software, with Boudt & Gagnon-Fleury
Stress-testing with parametric models and Fully Flexible Probabilities, Wilmott, with Bluteau
Smart beta and CPPI performance, Finance, with Boudt & Wauters
Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling, Insurance and Risk Management, with Guerrouaz & Rey, CDI technical note award
Moments of standardized Fernandez-Steel skewed distributions: Applications to the estimation of GARCH-type models, Finance Research Letters, with Trottier
The economic benefits of market timing the style allocation of characteristic-based portfolios, North American Journal of Economics and Finance, with Boudt & Wauters, R/Finance award
Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock price, Econometrics, with Gatarek & Hoogerheide
A note on jointly backtesting models for multiple assets and horizons, Wilmott, with Guerrouaz & Hoogerheide
Predicting market risk with density combination: An introduction, Wilmott, with Kolly
Implied expected returns and the choice of a mean-variance efficient portfolio proxy, Journal of Portfolio Management, with Boudt
Testing equality of modified Sharpe ratios, Finance Research Letters, with Boudt
Parametric stress-testing in non-normal markets via entropy pooling, Risk Magazine, with Meucci
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecast, Economics Letters, with Hoogerheide
Quantitative portfolio construction and systematic trading strategies using factor entropy pooling, Risk Magazine, with Colasante & Meucci
Worldwide equity risk prediction, Applied Economics Letters, with Hoogerheide
Cross-sectional distribution of GARCH coefficients across S&P 500 constituents, Wilmott, with Hoogerheide
A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods, Computational Statistics & Data Analysis, with Basturk, Hoogerheide & van Dijk
Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?, Economics Letters, with Corré & Hoogerheide
An introduction to the Generalized Marginal risk, Wilmott Magazine, with Keel
Fully flexible extreme views, Journal of Risk, with Keel & Meucci
Generalized marginal risk, Journal of Asset Management, with Keel
Differential Evolution with DEoptim: An application to non-convex portfolio optimization, R Journal, with Boudt, Carl, Mullen & Peterson
DEoptim: An R package for global optimization by Differential Evolution, Journal of Statistical Software, with Cline, Gil, Mullen & Windover
Heuristic methods in finance, Newsletter American Statistical Association, with Schumann
Jump-diffusion calibration using Differential Evolution, Wilmott Magazine, with Giraldo & Ospina
Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R, R Journal, with Hoogerheide
AdMit: Adaptive mixtures of Student-t distributions, R Journal, with Hoogerheide & van Dijk
Adaptive mixture of Student-t distributions as a flexible distribution for efficient simulation: The R package AdMit, Journal of Statistical Software, with Hoogerheide & van Dijk
Bayesian estimation of a Markov-switching threshold GARCH model with Student-t innovations, Econometrics Journal
Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications, Lecture Notes in Economics and Mathematical Systems, 612, Springer, Chorafas prize, Finalist NYSE-Euronext prize
Tests d'arbitrage sur options: Une analyse empirique des cotations de market-makers, Bankers, Markets and Investors