Heiner.Beckmeyer

About Heiner Beckmeyer

Heiner Beckmeyer is Postdoctoral Research Fellow at the Chair of Derivatives and Financial Engineering at the University of Muenster, Germany. In his research, he applies modern methods from deep and machine learning to questions in empirical asset pricing.

Novel explanations for risk-based option momentum

In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta-hedged option returns. We find strong evidence of risk continuation in option returns.

Machine Learning: The Recovery of Missing Firm Characteristics

Firm characteristics are often missing, which forces both researchers and practitioners to come up with workarounds when handling missing data. Previous approaches resorted to either dropping observations with missing entries or simply imputing the cross-sectional mean of a given characteristic. As both procedures accompany serious drawbacks (see below), there is a need for more advanced methods. The authors set up an attention-based machine learning model, motivated by recent advances in natural language to find some answers

About Heiner Beckmeyer

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