The conventional capital asset pricing model (CAPM) has come under severe attack for its failure to reflect investor behavior. This paper describes financial decision-making under uncertainty in formal mathematical terms as a generalized higher-moment capital asset pricing model. It develops...

Econophysics applies the techniques of physics and nonlinear dynamics to complex economic problems. This essay invokes econophysics in order to introduce a theoretical model that aspires to encompass all essential features of real financial markets. It summarizes the central argument of my book,...

Despite the rise of multi-factor models emphasizing value, firm size, and momentum, beta remains the primary measure of risk in asset pricing. Designed to define systematic risk, net of idiosyncratic risk that can be neutralized through diversification, beta combines a measure of volatility with...

This essay presents higher-moment asset pricing, a generalized approach to finance that combines a mathematically informed understanding of economic fundamentals with psychologically and biologically inspired behavioral insights. It ultimately seeks to apply higher-moment asset pricing to a wide...

This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk, into subatomic (or “baryonic”) components. By analogy to quantum chromodynamics and other aspects of the Standard Model of particle physics, this essay bifurcates beta on...

Machine-learning regression models lack the interpretability of their conventional linear counterparts. Tree- and forest-based models offer feature importances, a vector of probabilities indicating the impact of each predictive variable on a model’s results. This brief note describes how to...

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic"...