Overview
Bryan Kelly is a financial economist (Yale School of Management; AQR Capital Management; NBER), known for machine learning in finance, high-dimensional factor models, and volatility/tail-risk measurement.
Key Contributions / Features
- Empirical asset pricing via machine learning (Gu-Kelly-Xiu 2020): the benchmark ML comparison for the cross-section of returns.
- Instrumented Principal Components Analysis (IPCA) (Kelly-Pruitt-Su 2019) and autoencoder latent-factor models; work on the "virtue of complexity" in return prediction and on firm-level text/volatility measures.
Related