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Shomesh E. Chaudhuri
ORCID
Publication Activity (10 Years)
Years Active: 2015-2019
Publications (10 Years): 2
Top Topics
Stock Trading
Autoregressive
Stock Data
Spectral Decomposition
Top Venues
SP/SPE
Manag. Sci.
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Publications
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Shomesh E. Chaudhuri
,
Andrew W. Lo
Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons.
Manag. Sci.
65 (9) (2019)
Shomesh E. Chaudhuri
,
Andrew W. Lo
Spectral analysis of stock-return volatility, correlation, and beta.
SP/SPE
(2015)