Prof. Semyon Malamud
SFI Senior Chair, Associate Professor, EPFL
Semyon Malamud is Associate Professor of Finance at the École Polytechnique Fédérale de Lausanne. Professor Malamud is a regular speaker at leading academic conferences worldwide, and his papers have been published in the top journals in finance and economics.
Expertise
Professor Malamud's research centers on Asset Pricing and Machine Learning. In a recent groundbreaking paper, he introduces Artificial Intelligence Pricing Theory (AIPT). Unlike the foundational assumption of the Arbitrage Pricing Theory (APT), which posits a low-dimensional factor structure for returns, AIPT proposes that returns are influenced by a vast number of factors. Empirical evidence supports this hypothesis, demonstrating that nonlinear models incorporating an exceptionally high number of factors—far exceeding the number of training observations or base assets—significantly outperform simpler models in explaining the out-of-sample behavior of asset returns. Furthermore, the theoretical framework developed for large-factor pricing models validates the AIPT’s "many factors" conjecture, aligning with empirical findings while discrediting the APT’s "few factors" assumption.
Expertise Fields
- Financial Markets
- Central Banks and Monetary Policy
- Financial Forecasting
- International Financial Markets and Emerging Markets
- Portfolio Management and Asset Classes
- Asset Pricing
- Options and Other Derivatives
- Portfolio Management
- Financial Institutions
- Institutional Investors and Funds
- Corporate Finance and Governance
- Financial Risk and Risk Management
- Financing Policy and Capital Structure
- Frontier Topics
- Big Data and Fintech
- Operations Research and Decision Theory