Bio


Markus Pelger is an Assistant Professor at the Management Science & Engineering Department. Markus received his Ph.D. in Economics from the University of California, Berkeley. He has a Diplom in Mathematics and a Diplom in Economics from the University of Bonn in Germany..

Academic Appointments


  • Assistant Professor, Management Science and Engineering

Honors & Awards


  • Reid and Polly Anderson Faculty Fellow, Stanford University (2015)
  • Eliot J. Swan Prize, Department of Economics, UC Berkeley (2012)
  • Outstanding Graduate Student Instructor Award, UC Berkeley (2011)
  • Institute for New Economic Thinking (INET) Prize in Economic History, UC Berkeley (2011)
  • Scholarship of the German Academic Exchange Service, DAAD (2009)
  • Fulbright Scholarship, Institute of International Education (2007)
  • Scholarship of the German National Academic Foundation, Studienstiftung (2004-2009)

Professional Education


  • Ph.D., UC Berkeley, Economics (2015)
  • Diplom, University of Bonn, Mathematics (2012)
  • Diplom, University of Bonn, Economics (2009)

Current Research and Scholarly Interests


His research focuses on understanding and managing financial risk. He develops mathematical financial model and statistical methods, analyzes financial data and engineers computational techniques. His research is divided into three streams: stochastic financial modeling, high-frequency statistics and statistical learning in high-dimensional financial data sets. His most recent work includes developing machine learning solutions to big-data problems in empirical risk management and asset pricing.

2019-20 Courses


Stanford Advisees


All Publications


  • Estimating latent asset-pricing factors JOURNAL OF ECONOMETRICS Lettau, M., Pelger, M. 2020; 218 (1): 1–31
  • Understanding Systematic Risk: A High-Frequency Approach JOURNAL OF FINANCE Pelger, M. 2020

    View details for DOI 10.1111/jofi.12898

    View details for Web of Science ID 000531023800001

  • Factors That Fit the Time Series and Cross-Section of Stock Returns REVIEW OF FINANCIAL STUDIES Lettau, M., Pelger, M. 2020; 33 (5): 2274–2325
  • ON THE EXISTENCE OF SURE PROFITS VIA FLASH STRATEGIES JOURNAL OF APPLIED PROBABILITY Fontana, C., Pelger, M., Platen, E. 2019; 56 (2): 384–97
  • Large-dimensional factor modeling based on high-frequency observations Pelger, M. ELSEVIER SCIENCE SA. 2019: 23–42
  • Large-dimensional factor modeling based on high-frequency observations Journal of Econometrics Pelger, M. 2018
  • Factors that Fit the Time-Series and Cross-Section of Stock Returns Working paper Lettau, M., Pelger, M. 2018
  • State-Varying Factor Models of Large Dimensions Working paper Pelger, M., Xiong, R. 2018
  • Interpretable Sparse Proximate Factors for Large Dimensions Working paper Pelger, M., Xiong, R. 2018
  • Change-Point Testing and Estimation for Risk Measures in Time Series Working paper Fan, L., Glynn, P., Pelger, M. 2018
  • Contingent Capital, Tail Risk, and Debt-Induced Collapse Review of Financial Studies Chen, N., Glasserman, P., Nouri, B., Pelger, M. 2017
  • Optimal Stock Option Schemes for Managers Review of Managerial Science Chen, A., Pelger, M. 2013
  • New Performance-Vested Stock Option Schemes Applied Financial Economics Chen, A., Pelger, M., Sandmann, K. 2013
  • Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation Working paper Pelger, M. 2012