David Ardia

Associate Professor, Department of Decision Sciences

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)

Research Professorship in Sentometrics
Member of the Group for Research in Decision Analysis (GERAD)
Elected member of the ISI
Louis Bachelier Fellow
Associate editor at the International Journal of Forecasting
Associate editor at the Journal of Statistical Software

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.

Journal articles (16)

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, BLUTEAU, Keven, MEGHANI, Mohammad Abbas Firoz; « Thirty years of academic finance », Journal of Economic Surveys, vol. 38, no 3, 2024, p. 1008-1042.

ARDIA, David, DUFAYS, Arnaud, ORDAS CRIADO, Carlos; « Linking Frequentist and Bayesian Change-Point Methods », Journal of Business & Economic Statistics, vol. 42, no 4, 2024, p. 1155-1168.

ARDIA, David, GUIDOTTI, Emanuele, KROENCKE, Tim A.; « Efficient estimation of bid–ask spreads from open, high, low, and close prices », Journal of Financial Economics, vol. 161, 2024, p. 1-17.

ARDIA, David, BLUTEAU, Keven; « Twitter and cryptocurrency pump-and-dumps », International Review of Financial Analysis, vol. 95, no Part B, 2024, p. 1-15.

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

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, 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, 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, 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; « 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.

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

This selection of supervision activities covers the last five years.

Master's thesis direction – MSc in Management (10)

Can Top ESG Stocks Outperform the Investment Universe? Evidence From Mean-Variance Efficiency and Spanning Tests, by Fatma Ammar
March 2025

Examining the Relation Between Stocks' Option-Implied Moments and Climate Change Concerns, by Thomas Boyer
October 2024

Realized Variance Forecasting in the US Stock Market, by Frédéric Rivard
September 2024

Impact of Climate Change Concerns on the Volatility of Green and Brown Stocks, by Kriti Bhaya
September 2024

Weathering the Markets: Exploring the Empirical Relationship Between Climate Change Concerns and Commodity Futures Contracts, by Michael Pimentel
March 2024

In codirection with : GAUTHIER, Geneviève
Regime-Switching Correlations with Exogenous Economic Variables, by Paul Kelendji
March 2024

Comparaison de modèles factoriels linéaires et non-linéaires pour l'univers des actions du S&P 500, by Frédéric Siino
October 2023

The Peer Performance Ratios in Cryptocurrency Markets, by Abhishek Duggal
August 2023

Multi-Asset Approach to Realized Variance Forecasting: Empirical Evidence from the Canadian Dollar, by Alexandre Turenne
August 2022

Application of Textual Sentiment Scores in Value-at-Risk models, by Jaime Casigay
March 2022

Supervised project supervision – MSc in Management (51)

Risk Forecasting with GARCH Models: A Markov-Switching Approach to FX Volatility , by Prateek Sinha
March 2025

Application d'une variable de sentiment climatique aux modèles GARCH-X et GAS-X afin de modéliser la volatilité des firmes du S&P500 , by Jeanne Bourgault
March 2025

Analyse de la performance des combinaisons de modèles de prévision de risques financiers , by Hui Shi
March 2025

Forecasting CAD/USD Exchange Rate Using Econometric Models , by Xi Chen
March 2025

Comparative Analysis of Volatility Prediction Models on Risk-Based Portfolio Allocation , by Alyssa Oleas
March 2025

Leveraging Implied Volatility Insights for Portfolio Management , by Samuel Morin
January 2025

Simulation flexible de la courbe des swaps OIS en adaptant les paramètres du modèle de Nelson-Siegel selon divers contextes économiques et scénarios de stress financier , by Patrick-Ismaël Bamba
January 2025

Integrating Machine Learning-Driven NLP Techniques to Derive Scores and Insights for the Analysis of Sustainability Reporting Alignment in Corporate Canadian Companies , by Leonardo Jose Aguilar Garza
October 2024

Optimization Tool for a Pension Plan's Real Estate Asset Allocation , by Owen Brosseau
October 2024

Étude de la relation entre un indice permettant de quantifier l'inquiétude climatique et les rendements des constituants du S&P500 , by William Delisle
September 2024

Prédiction de la volatilité réalisée : une approche basée sur l'apprentissage automatique et le modèle GARCH , by Mustapha Bouhsen
May 2024

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

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

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

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

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

Speech Emotion Recognition , by Mahdi Javadi
October 2023

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

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

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

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

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

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

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

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

Outside View , by Pascale Tessier-Rhéaume
May 2021

GFS Trading Costs Model , by Philippe Gadbois
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