Markus Pelger

2.1k total citations · 1 hit paper
42 papers, 931 citations indexed

About

Markus Pelger is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Markus Pelger has authored 42 papers receiving a total of 931 indexed citations (citations by other indexed papers that have themselves been cited), including 27 papers in Finance, 22 papers in Economics and Econometrics and 9 papers in Management Science and Operations Research. Recurrent topics in Markus Pelger's work include Financial Markets and Investment Strategies (20 papers), Stock Market Forecasting Methods (8 papers) and Corporate Finance and Governance (8 papers). Markus Pelger is often cited by papers focused on Financial Markets and Investment Strategies (20 papers), Stock Market Forecasting Methods (8 papers) and Corporate Finance and Governance (8 papers). Markus Pelger collaborates with scholars based in United States, United Kingdom and Germany. Markus Pelger's co-authors include Martin Lettau, Svetlana Bryzgalova, Ruoxuan Xiong, Paul Glasserman, Nan Chen, Stijn Van Nieuwerburgh, Ron Kaniel, Nan Chen, Damir Filipović and Ye Ye and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Management Science.

In The Last Decade

Markus Pelger

39 papers receiving 909 citations

Hit Papers

Deep Learning in Asset Pricing 2023 2026 2024 2025 2023 40 80 120
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. Deep Learning in Asset Pricing
    2023 133 citations Markus Pelger et al. Management Science profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Markus Pelger United States 15 688 497 301 140 132 42 931
Joachim Freyberger United States 10 458 0.7× 369 0.7× 252 0.8× 121 0.9× 82 0.6× 20 652
Phelim Boyle Canada 12 849 1.2× 347 0.7× 211 0.7× 76 0.5× 117 0.9× 30 1.1k
Richard O. Michaud United States 10 1.1k 1.6× 547 1.1× 674 2.2× 267 1.9× 142 1.1× 28 1.4k
Patrick Gagliardini Switzerland 14 618 0.9× 441 0.9× 104 0.3× 236 1.7× 104 0.8× 75 851
Sophia Zhengzi Li United States 9 477 0.7× 364 0.7× 105 0.3× 84 0.6× 101 0.8× 21 628
Nicholas Polson United States 8 1.3k 1.9× 647 1.3× 127 0.4× 196 1.4× 52 0.4× 15 1.5k
Attilio Meucci United States 13 684 1.0× 376 0.8× 357 1.2× 122 0.9× 39 0.3× 47 897
Shihao Gu United States 6 850 1.2× 705 1.4× 687 2.3× 142 1.0× 196 1.5× 9 1.3k
Nikolaus Hautsch Austria 22 1.5k 2.1× 1.1k 2.3× 274 0.9× 371 2.6× 181 1.4× 100 1.8k
Sergio Ortobelli Lozza Italy 15 712 1.0× 377 0.8× 639 2.1× 91 0.7× 47 0.4× 101 958

Countries citing papers authored by Markus Pelger

Since Specialization
Citations

This map shows the geographic impact of Markus Pelger's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Markus Pelger with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Markus Pelger more than expected).

Fields of papers citing papers by Markus Pelger

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Markus Pelger. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Markus Pelger. The network helps show where Markus Pelger may publish in the future.

Co-authorship network of co-authors of Markus Pelger

This figure shows the co-authorship network connecting the top 25 collaborators of Markus Pelger. A scholar is included among the top collaborators of Markus Pelger based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Markus Pelger. Markus Pelger is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Pelger, Markus, et al.. (2025). Attention Factors for Statistical Arbitrage. 396–404.
2.
Filipović, Damir, Markus Pelger, & Ye Ye. (2024). Shrinking the Term Structure. SSRN Electronic Journal.
3.
Blanchet, José, et al.. (2024). Automatic Outlier Rectification via Optimal Transport. 35313–35357.
4.
Pelger, Markus, et al.. (2023). Target PCA: Transfer learning large dimensional panel data. Journal of Econometrics. 244(2). 105521–105521. 4 indexed citations
5.
Pelger, Markus, et al.. (2023). A Simple Method for Predicting Covariance Matrices of Financial Returns. RePEc: Research Papers in Economics. 12(4). 324–407. 3 indexed citations
6.
Kaniel, Ron, et al.. (2023). Machine-learning the skill of mutual fund managers. Journal of Financial Economics. 150(1). 94–138. 32 indexed citations
7.
Bryzgalova, Svetlana, Victor DeMiguel, Sicong Li, & Markus Pelger. (2023). Asset-Pricing Factors with Economic Targets. SSRN Electronic Journal. 5 indexed citations
8.
Bryzgalova, Svetlana, et al.. (2023). Internet Appendix for Missing Financial Data. SSRN Electronic Journal. 1 indexed citations
9.
Pelger, Markus, et al.. (2023). Deep Learning in Asset Pricing. Management Science. 70(2). 714–750. 133 indexed citations breakdown →
10.
Filipović, Damir, Markus Pelger, & Ye Ye. (2022). Stripping the Discount Curve - a Robust Machine Learning Approach. SSRN Electronic Journal. 7 indexed citations
11.
Xiong, Ruoxuan & Markus Pelger. (2022). Large dimensional latent factor modeling with missing observations and applications to causal inference. Journal of Econometrics. 233(1). 271–301. 24 indexed citations
12.
Bryzgalova, Svetlana, et al.. (2022). Missing Financial Data. SSRN Electronic Journal. 21 indexed citations
13.
Pelger, Markus. (2020). Understanding Systematic Risk: A High‐Frequency Approach. The Journal of Finance. 75(4). 2179–2220. 53 indexed citations
14.
Xiong, Ruoxuan & Markus Pelger. (2020). Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. SSRN Electronic Journal. 2 indexed citations
15.
Lettau, Martin & Markus Pelger. (2020). Factors That Fit the Time Series and Cross-Section of Stock Returns. Review of Financial Studies. 33(5). 2274–2325. 165 indexed citations
16.
Bryzgalova, Svetlana, et al.. (2019). Forest Through the Trees: Building Cross-Sections of Stock Returns. SSRN Electronic Journal. 81 indexed citations
17.
Fontana, Claudio, Markus Pelger, & Eckhard Platen. (2019). On the existence of sure profits via flash strategies. Journal of Applied Probability. 56(2). 384–397. 4 indexed citations
18.
Chen, An & Markus Pelger. (2013). How Relative Compensation Can Lead to Managerial Herding. SSRN Electronic Journal. 3 indexed citations
19.
Chen, Nan, et al.. (2013). CoCos, Bail-In, and Tail Risk. SSRN Electronic Journal. 21 indexed citations
20.
Chen, An, Markus Pelger, & Klaus Sandmann. (2010). New Performance-Vested Stock Option Schemes. SSRN Electronic Journal. 2 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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