Bryan Kelly
Biographic Data
| ID | 3822272 |
|---|---|
| NAME | Bryan Kelly |
| GIVEN NAMES | Bryan |
| FAMILY NAME | Kelly |
| SIGNATURE | KELLY B |
| AFFILIATIONS | AQR Capital Management, Yale University |
| VERIFIED | No |
| TOTAL WORKS | 8 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 8 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1962 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Text Selection
Text data is ultra-high dimensional, which makes machine learning techniques indispensable for textual analysis. Text is often selected—journalists, speechwriters, and others craft messages to target their audiences’ limited attention. We develop an economically motivated high-dimensional selection model that improves learning from text (and from sparse counts data more generally). Our model is especially useful when the choice to include a phras…
Firm Volatility in Granular Networks
Firm volatilities comove strongly over time, and their common factor is the dispersion of the economy-wide firm size distribution. In the cross section, smaller firms and firms with a more concentrated customer base display higher volatility. Network effects are essential to explaining the joint evolution of the empirical firm size and firm volatility distributions. We propose and estimate a simple network model of firm volatility in which shocks…
Text as Data
An ever-increasing share of human interaction, communication, and culture is recorded as digital text. We provide an introduction to the use of text as an input to economic research. We discuss the features that make text different from other forms of data, offer a practical overview of relevant statistical methods, and survey a variety of applications. (JEL C38, C55, L82, Z13)
Dynamic Equicorrelation
A new covariance matrix estimator is proposed under the assumption that at every time period all pairwise correlations are equal. This assumption, which is pragmatically applied in various areas of finance, makes it possible to estimate arbitrarily large covariance matrices with ease. The model, called DECO, involves first adjusting for individual volatilities and then estimating correlations. A quasi-maximum likelihood result shows that DECO pro…
Piano
English Cantatas
English Music
Wind and Piano
No prominent works on this page.
Wind and Piano
English Music
English Cantatas
Piano
Dynamic Equicorrelation
A new covariance matrix estimator is proposed under the assumption that at every time period all pairwise correlations are equal. This assumption, which is pragmatically applied in various areas of finance, makes it possible to estimate arbitrarily large covariance matrices with ease. The model, called DECO, involves first adjusting for individual volatilities and then estimating correlations. A quasi-maximum likelihood result shows that DECO pro…
Text as Data
An ever-increasing share of human interaction, communication, and culture is recorded as digital text. We provide an introduction to the use of text as an input to economic research. We discuss the features that make text different from other forms of data, offer a practical overview of relevant statistical methods, and survey a variety of applications. (JEL C38, C55, L82, Z13)
Firm Volatility in Granular Networks
Firm volatilities comove strongly over time, and their common factor is the dispersion of the economy-wide firm size distribution. In the cross section, smaller firms and firms with a more concentrated customer base display higher volatility. Network effects are essential to explaining the joint evolution of the empirical firm size and firm volatility distributions. We propose and estimate a simple network model of firm volatility in which shocks…
Text Selection
Text data is ultra-high dimensional, which makes machine learning techniques indispensable for textual analysis. Text is often selected—journalists, speechwriters, and others craft messages to target their audiences’ limited attention. We develop an economically motivated high-dimensional selection model that improves learning from text (and from sparse counts data more generally). Our model is especially useful when the choice to include a phras…
Art (4 works) · Computer Science (3 works) · Art history (2 works) · Diverse Musicological Studies (2 works) · Econometrics (2 works) · Economics (2 works) · Media Influence and Politics (2 works) · Music Technology and Sound Studies (2 works) · Musicology and Musical Analysis (2 works) · Piano (2 works)