Empirical asset pricing, Financial econometrics, Machine learning, Bayesian methods.
Teaching in 2018-2019
IB9Y60: Empirical Finance
Postgraduate Research Finance and Econometrics
Daniele Bianchi is an Assistant Professor in the Finance Group at the Warwick Business School, University of Warwick (that I joined in the Fall of 2014). He was awarded a Ph.D. by the Department of Finance at Bocconi University in Spring 2014. He has been visiting scholar at the McCombs School of Business at UT Austin in Texas, at University "Ca' Foscari" of Venice in Italy, and at the Nova School of Business and Economics in Lisbon. His research interests span Bayesian methods, empirical asset pricing, financial econometrics, and machine learning.
His papers have been presented at conferences organized by the American Economic Association (AEA), the National Bureau of Economic Research (NBER), the Econometric Society, the European Finance Association (EFA), the Royal Economic Society (RES), the European Economic Association (EEA), the Society for Economic Dynamics (SED), the Society for Financial Econometrics (SoFiE), and the Society for Financial Studies (SFS). His publications include the Journal of Econometrics, the Journal of Business and Economic Statistics, and the Journal of Financial Econometrics
- Bond Risk Premia with Machine Learning (with Andrea Tamoni and Matthias Büchner) (New)
2019 Georgia State University/Review of Financial Studies FinTech Conference (scheduled), 13th Imperial conference on Advances in the Analysis of Hedge Fund Strategies, 29th EC^2 Conference on Big Data Econometrics with Applications, Workshop on Predicting Asset Returns at Orebro University, Modelling with Big Data and Machine Learning at King's College London, 2019 FMA Consortium on Factor Investing in Cambridge (scheduled).
- Trading Volume in Cryptocurrency Markets (with Alexander Dickerson) (New)
First NEOMA International Workshop on FinTech and CryptoFinance.
- Predictability of Order Imbalance, Market Quality and Equity Cost of Capital (with Matthias Büchner and Roman Kozhan) (New)
- Large-Scale Dynamic Predictive Regressions (with Ken McAlinn) (New)
International Society of Bayesian Analysis world meeting, 10th ECB Workshop on Forecasting Techniques, Barcelona GSE Summer Forum 2018, NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics at Stanford 2018, 71st European Summer Meeting of the Econometric Society, 2018 European Seminar on Bayesian Econometrics in New Orleans, 2018 NBP Workshop on Forecasting in Warsaw.
- Cryptocurrencies as an Asset Class: An Empirical Assessment (New)
- Carry Trades and Tail Risk: Evidence from Commodity Markets (New)
- 11th Annual Conference SoFiE, Royal Economic Society annual conference 2018, Commodity Markets Winter Workshop at Audencia Business School 2018, Commodity and Energy Markets Association annual meeting in Rome (scheduled).
- Adaptive Expectations and Commodity Risk Premia, (with Jacopo Piana) (New version)
- NBER Economics of Commodity Markets Meeting 2016, European Winter Meeting of the Econometric Society 2016, Society for Economic Dynamics annual meeting 2017, Financialization of Commodity Markets workshop Bozen 2017, Barcelona GSE Summer Forum 2017, Energy and Commodity Finance conference at Oxford 2017, 70th European Summer Meeting of the Econometric Society, 49th Money, Macro and Finance Research Group Annual Conference at King's College, 4th SAFE Asset Pricing Workshop at Goethe University, OU Energy and Commodities Finance Research Conference 2017.
- The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling, (with Andrea Tamoni)
- Presentations: SFS Cavalcade 2016 at Rotman, 9th Annual Conference SoFiE, NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics at UPenn 2016, Univ. Of Mannheim / EABCN Conference: "Asset Prices and the Macro Economy" 2016, 9th ECB Workshop on Forecasting Techniques, 69th Econometric Society European meetings, Barcelona GSE Summer Forum 2016, Society for Economic Dynamics annual meeting 2017 (scheduled), North American Summer Meeting of the Econometric Society 2017 (scheduled).
- A Dynamic Test of Conditional Asset Pricing Models, R&R at the Journal of Applied Econometrics
- Presentations: 8th RCEA Bayesian econometrics workshop, 6th Italian Congress of Econometrics and Empirical Economics, and the 23rd Symposium of the Society for Nonlinear Dynamics and Econometrics.
- Finalist Carlo Giannini Prize for the best conference paper in Financial Econometrics, 6th ICEEE
Bianchi, D., Billio, M., Casarin, R. and Guidolin, M. (2018) "Modeling systemic risk with Markov switching graphical SUR models", Journal of Econometrics
Bianchi, D. and Chiarella, C. (2018) "An anatomy of industry merger waves", Journal of Financial Econometrics
Bianchi, D., Guidolin, M. and Ravazzolo, F. (2017) "Macroeconomic factors strike back : a bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section", Journal of Business and Economic Statistics, 35, 1, 110-129
Bianchi, D., Guidolin, M. and Ravazzolo, F. (2017) "Dissecting the 2007–2009 real estate market bust : systematic pricing correction or just a housing fad?", Journal of Financial Econometrics, 16, 1, 34-62