Associate Professor of Finance at CUNEF Universidad
I'm also the Director of the Master in Finance at CUNEF Universidad. Founder of Noax Capital, a quant trading firm specializing in systematic investing.
My research interests span (i) empirical asset pricing, with a focus on quantitative investments and machine (deep) learning applications, (ii) the feedback effects of financial markets on the real economy, and (iii) quantitative and mathematical finance more broadly.
My research output has been published in top international finance journals such as the Journal of Financial Economics, Journal of Corporate Finance, Journal of Empirical Finance and The Energy Journal.
Research
Published Papers
Climate Shocks, Institutional Investors, and the Information Content of Stock Prices
Overlapping momentum portfolios
Options Trading and the Cost of Debt
Modelling Electricity Swaps
Identifying Real Estate Opportunities with Machine Learning
The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
Measuring risk when expected losses are unbounded
Working Papers
R&D disclosure and short-term investors: Evidence from mandated patent disclosure.
Meet me halfway: Financial analysts and strategic change.
Work in Progress
Asset pricing through a bottleneck: Return prediction with regularized autoencoders.
Going Deep in Momentum.
Media & Commentary
Articles & Commentary
Inteligencia artificial en los mercados financieros: evidencia empírica en el S&P 500
¿Cómo afectan los desastres naturales a las decisiones de los inversores institucionales?
Aprendizaje profundo para series temporales en finanzas:aplicación al factor momentum
Research Coverage
Should you invest in overlapping momentum investing strategies?
Overlapping momentum strategies - Gains from diversification of timeframe models
Teaching
Courses
Asset Pricing
Advanced course covering modern asset pricing theory, factor models, and empirical applications in portfolio management.
Machine Learning & Investments
Application of machine learning techniques to investment strategies, including deep learning for momentum and systematic trading.
Financial Derivatives
Comprehensive study of derivative instruments, pricing models, and risk management applications in modern finance.
Executive Training
Quantitative Investments
Systematic approaches to portfolio construction and quantitative trading strategies.
Factor Investing
Deep dive into factor-based investing, from theory to practical implementation.
Machine Learning in Asset Pricing
Advanced techniques in applying ML to asset pricing and return forecasting.
Systematic & Algorithmic Trading
Design and implementation of systematic trading strategies and execution algorithms.
Contact
Address
CUNEF Universidad
C. de Almansa, 101
28040 Madrid, Spain