hec.ca > Faculty

David Ardia

Associate Professor,  Department of Decision Sciences

David Ardia

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : david.ardia@hec.ca
Phone : 514 340-6103
Secretary: 514 340-6472
Fax : n/a
Office : 4.836

Personal page

Other title(s)

Education

  • PhD (Financial Econometrics), Université de Fribourg
  • MAS (Quantitative Finance), École polytechnique fédérale de Zürich et Université de Zürich
  • MSc (Financial Engineering), Université de Neuchâtel

Expertise

  • Quantitative risk management
  • Quantitative asset allocation
  • Sentometrics

This publication selection covers the last five years.


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Journal articles (19)


ARDIA, David, BLUTEAU, Keven, MEGHANI, Mohammad Abbas Firoz; « Thirty years of academic finance », Journal of Economic Surveys, 2024 (status : online).

ARDIA, David, BARRAS, Laurent, GAGLIARDINI, Patrick, SCAILLET, Olivier; « Is it alpha or beta? Decomposing hedge fund returns when models are misspecified », Journal of Financial Economics, vol. 154, 2024, p. 1-21.

ARDIA, David, DUFAYS, Arnaud, ORDAS CRIADO, Carlos; « Linking Frequentist and Bayesian Change-Point Methods », Journal of Business & Economic Statistics, 2024 (status : online).

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris, INGHELBRECHT, Koen; « Climate Change Concerns and the Performance of Green vs. Brown Stocks », Management Science, vol. 69, no 12, 2023, p. 7607-7632.

ARDIA, David, BLUTEAU, Keven, LORTIE-CLOUTIER, Gabriel, TRAN, Thien Duy; « Factor exposure heterogeneity in green and brown stocks », Finance Research Letters, vol. 55, no Part A, 2023, p. 1-7.

ARDIA, David, BLUTEAU, Keven, TRAN, Thien Duy; « How easy is it for investment managers to deploy their talent in green and brown stocks? », Finance Research Letters, vol. 48, 2022, p. 1-7.

ARDIA, David, BOUDT, Kris, HARTMANN, Stefan, NGUYEN, Giang; « Properties of the Margrabe Best-of-two strategy to tactical asset allocation », International Review of Financial Analysis, vol. 81, 2022, p. 1-15.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris; « Media abnormal tone, earnings announcements, and the stock market », Journal of Financial Markets, vol. 61, 2022, p. 1-19.

ARDIA, David, BLUTEAU, Keven, BORMS, Samuel, BOUDT, Kris; « The R Package sentometrics to Compute, Aggregate, and Predict with Textual Sentiment », Journal of Statistical Software, vol. 99, no 2, 2021, p. 1-40.

ARDIA, David, BLUTEAU, Keven, KASSEM, Alaa; « A century of Economic Policy Uncertainty through the French–Canadian lens », Economics Letters, vol. 205, 2021, p. 1-4.

ALGABA, Andres, ARDIA, David, BLUTEAU, Keven, BORMS, Samuel, BOUDT, Kris; « Econometrics meets sentiment: An overview of methodology and applications », Journal of Economic Surveys, vol. 34, no 3, 2020, p. 512-547.

ARDIA, David, BOUDT, Kris, CATANIA, Leopoldo; « Generalized Autoregressive Score Models in R: The GAS Package », Journal of Statistical Software, vol. 88, no 6, 2019, p. 1-28.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris; « Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values », International Journal of Forecasting, vol. 35, no 4, 2019, p. 1370-1386.

ARDIA, David, BLUTEAU, Keven, RÜEDE, Maxime; « Regime changes in Bitcoin GARCH volatility dynamics », Finance Research Letters, vol. 29, 2019, p. 266-271.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris, CATANIA, Leopoldo, TROTTIER, Denis-Alexandre; « Markov-Switching GARCH Models in R: The MSGARCH Package », Journal of Statistical Software, vol. 91, no 4, 2019, p. 1-38.

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris, CATANIA, Leopoldo; « Forecasting risk with Markov-switching GARCH models : A large-scale performance study », International Journal of Forecasting, vol. 34, no 4, 2018, p. 733-747.

ARDIA, David, BOUDT, Kris, NGUYEN, Giang; « Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation », Quantitative Finance, vol. 18, no 8, 2018, p. 1249-1259.

ARDIA, David, BLUTEAU, Keven, HOOGERHEIDE, Lennart; « Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation », Journal of Time Series Econometrics, vol. 10, no 2, 2018, p. 716-723.

ARDIA, David, BOUDT, Kris, CATANIA, Leopoldo; « Downside Risk Evaluation with the R Package GAS », The R Journal, vol. 10, no 2, 2018, p. 410-421.


This award and honor selection covers the last five years.


ARDIA, David, BARRAS, Laurent, GAGLIARDINI, Patrick, SCAILLET, Olivier
Best Paper Award at the 38th annual conference of the French Finance Association (AFFI) in Saint-Malo , During the 38th International Conference of the French Finance Association (AFFI) held in Saint-Malo, France, from May 23 to 25, David Ardia, Associate Professor at HEC Montréal, received the best asset pricing paper award for "Evaluating Hedge Fund Performance when Models are Misspecified". This paper is co-authored with Laurent Barra, Patrick Gargliardini and Olivier Scaillet., Association Francaise de Finance, 2022

ARDIA, David, BLUTEAU, Keven, BOUDT, Kris
Best Paper Award 2018-2019 - "Ardia D., Bluteau K., Boudt K. (2019) Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values", Every two years the IJF editors select the best paper to have been published in the International Journal of Forecasting within the previous two-year period. The Best Paper Award consists of US$1,000 and an engraved plaque., International Institute of Forecasters, 2021

GUIDOTTI, Emanuele, ARDIA, David
eRum 2020 COVID19 contest winner, Guidotti, Emanuele, David Ardia (2020). "COVID-19 Data Hub", communication présentée au European R Users Meeting., eRum, 2020

DUFAYS, Arnaud, ARDIA, David
IIF-SAS Research Award, International Institute of Forecasters, 2019

ARDIA, David
Swiss risk manager of the year, Swiss risk association, 2018

This selection of supervision activities covers the last five years.

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Supervised project supervision – MSc in Management (40)

Mise en œuvre de forêts aléatoires pour modéliser la probabilité de défaut des prêts du portefeuille de cas type 1 au sein de la Banque Nationale du Canada , by Leo Ruether
March 2024

Implémentation d'un indice de stress financier au Canada , by Anes Bellala
January 2024

A Study of MSGARCH Models on High-Frequency Time Series , by Massinissa Ioualitene
January 2024

Analyse fondamentale d'émetteurs des marchés émergents , by Bochra Rabaa
January 2024

Analyse de la relation entre le marché boursier et les surprises de bénéfices , by Harold Herbert Nonguierma
January 2024

Speech Emotion Recognition , by Mahdi Javadi
October 2023

Diversification intrasectorielle d'un portefeuille d'actions avec l'apprentissage non supervisé , by Philippe Lacroix-Ouellette
August 2023

Construction d'une stratégie systématique de Commodity Trading Advisors , by Patrick Guillaume Bitote
August 2023

Comparaison des modèles de calcul des Greeks au sein d'une institution bancaire canadienne , by Idriss Wannassy
August 2023

Définition de la structure de couverture du portefeuille de garantie de taux des prêts hypothécaires à taux fixe , by Raphaël Clavijo
August 2023

Analyse multifactorielle par décomposition du R2 d'un portefeuille à la Caisse de dépôt et placement du Québec , by Anas Zouabi
August 2023

Applying Machine Learning Techniques to Earnings Reactions , by Renaud Paquin
August 2023

Validation et exploration de mesures de la probabilité de défaut , by Omar Kamal
August 2023

Comparaison de performance entre une VaR Harrell-Davis et une VaR paramétrique , by Joseph Deborbe
August 2023

Étude comparative de différents modèles d'apprentissage automatique pour la stratégie de trading , by Xinyi Wen
May 2023

Factor Heterogeneity of Green and Brown Stocks with Climate Change Concerns , by Gabriel Lortie-Cloutier
May 2023

Approche alternative à la conception des buckets de risque pour le SIMM de l'ISDA , by Xinran Hu
March 2023

In codirection with : DIONNE, Georges
L'apport des variables textuelles dans la prédiction des probabilités de défaut corporatives , by Audrey Dupuis
March 2023

Analyse de différentes techniques d'apprentissage machine pour la prédiction des rendements de cryptomonnaies , by Nicolas Lambert
November 2022

Décomposition du rendement d'un gestionnaire de portefeuille de dette immobilière au Canada , by Lionel Elisée Balma
August 2022

Générateurs de scénarios économiques - Simulations des courbes de taux d'intérêt gouvernemental canadien et swap canadien , by Sabrina Fernandes
August 2022

Developing Category-specific Economic Policy Uncertainty Indices through Genetic Algorithm , by Jun Wang
August 2022

Indice d'incertitude pour les crypto-monnaies sur Twitter , by Quentin Dutoit
March 2022

Outil d'aide à la recherche d'articles d'actualité pour les filiales d'Investissement Québec , by Zakaria Rayadh
March 2022

Analyse par facteurs de risque de la VaR , by Etienne Ménard-Bédard
March 2022

Modélisation de données de revenus fixes pour un modèle de risque de crédit , by Earvin Hemou
January 2022

Systematic Trading Strategy using ML techniques applied to the Wholesale Electricity Market , by Kliti Qako
January 2022

Gestion et quantification des risques climatiques pour les institutions financières canadiennes , by Emmie Grégoire-Salmon
November 2021

Modélisation de différents type de swaps , by Alexis Heurtaux
September 2021

The Use of Change-point Methods on Textual Sentiment Data , by Stanislav Davletgareyev
September 2021

Integration of a textual index in the context of portfolio management , by Mingliang Wei
September 2021

Topic Modeling in Academic Finance , by Mohammad Abbas Firoz Meghani
September 2021

GFS Trading Costs Model , by Philippe Gadbois
May 2021

Outside View , by Pascale Tessier-Rhéaume
May 2021

The peer performance adjusted for luck of Green firms and Brown firms , by Thien Duy Tran
May 2021

Performance des modèles GARCH, GJR-GARCH et STGARCH pour la prévision de risque du Bitcoin , by Denis Genest
March 2021

Construction d'un indice d'incertitude en matière de politique économique pour le Québec , by Alaa Kassem
March 2021

In codirection with : SCHULZ, Juliana
Framework for Measuring the Impact of Online News or Posts on Entity Reputation Dimensions , by Lea El Hélou
March 2021

Évaluation de modèles GARCH et de leurs combinaisons pour la prédiction de risque par la Valeur à Risque dans une étude de Simulation , by Marie Guignane Tine
January 2021

L'effet de liquidité dans l'estimation du risque de marché des placements privés , by Chloé Morin-Leclerc
September 2020