David Ardia
About
I am a Full IVADO professor in the Department of Decision Sciences at HEC Montréal and Director of the MSc in Financial Engineering program. Trained in quantitative methods for finance, I have a keen interest in AI, machine learning, and natural language processing techniques for asset allocation, risk management, and economic forecasting.
Together with my team, I develop tools and methodologies in R and Python and share them with the broader community to foster real-world impact. I am also active in Sentometrics Research, an open-source initiative bridging text mining, sentiment analysis, and econometrics, and FAME, a joint Paris Dauphine–PSL and HEC Montréal initiative on generative AI and large language models in financial markets.
I also serve as Associate Editor for the International Journal of Forecasting, the Journal of Statistical Software, and the R Journal. I am a Fellow of the Institut Louis Bachelier, an elected member of the ISI, a regular member or researcher at CIRANO, CIREQ, CRM, Fin-ML, GERAD, and Quantact, an associate researcher at OBVIA and the Penner Institute, and an instructor at DataCamp.
Research
No publications match your search.
Selected publications
- Efficient estimation of bid-ask spreads from open, high, low, and close prices, Journal of Financial Economics 2024, with Guidotti & Kroencke [Code/Data]
- Is it alpha or beta? Decomposing hedge fund returns when models are misspecified, Journal of Financial Economics 2024, with Barras, Scaillet & Gagligardini [Code]
- Linking frequentist and Bayesian change-point methods, Journal of Business & Economic Statistics 2024, with Dufays & Ordas
- Climate change concerns and the performance of green versus brown stocks, Management Science 2023, with Bluteau, Boudt & Inghelbrecht [Data]
- Media abnormal tone, earnings announcements, and the stock market, Journal of Financial Markets 2022, with Bluteau & Boudt
- The peer performance ratios of hedge funds, Journal of Banking & Finance 2017, with Boudt [Code]
Working papers
- spantest: Mean-variance spanning tests in R, Working paper, with Séguin
- RSDC: Regime-switching correlation models in R, Working paper, with Séguin
- PeerPerformance: Luck-corrected peer performance analysis in R, Working paper, with Séguin
- Value creation in the hedge fund industry, Working paper, with Barras
- Robust inference in large panels and Markowitz portfolios, Working paper, with Sessinou [Code]
Other publications
- Revisiting Boehmer et al. (2021): Recent period, alternative method, different conclusions, Financial Markets and Portfolio Management, forthcoming, with Aymard & Cenesizoglu [Code]
- Optimal text-based time-series indices, International Journal of Forecasting 2026, with Bluteau [Code]
- Examining high-frequency patterns in Robinhood users' trading behavior, International Review of Financial Analysis 2025, with Aymard & Cenesizoglu [Code]
- Twitter and cryptocurrency pump-and-dumps, International Review of Financial Analysis 2024, with Bluteau [Data]
- Thirty years of academic finance, Journal of Economic Surveys 2024, with Bluteau & Meghani [Code]
- Factor exposure heterogeneity in green and brown stocks, Finance Research Letters 2023, with Bluteau, Lortie-Cloutier & Tran
- How easy is it for investment managers to deploy their talent in green and brown stocks?, Finance Research Letters 2022, with Bluteau & Tran
- Properties of the Margrabe Best-of-two strategy to tactical asset allocation, International Review of Financial Analysis 2022, with Boudt, Hartmann & Nguyen
- The R package sentometrics to compute, aggregate, and predict with textual sentiment, Journal of Statistical Software 2021, with Bluteau, Borms & Boudt [Code]
- A century of economic policy uncertainty through the French-Canadian lens, Economics Letters 2021, with Bluteau & Kassem [Data]
- Econometrics meets sentiment: An overview of methodology and applications, Journal of Economic Surveys 2020, with Algaba, Bluteau, Borms & Boudt
- COVID-19 Data Hub, Journal of Open Source Software 2020, with Guidotti [Data]
- Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values, International Journal of Forecasting 2019, with Bluteau & Boudt [Data]
- Markov-switching GARCH models in R: The MSGARCH package, Journal of Statistical Software 2019, with Bluteau, Boudt, Catania & Trottier [Code]
- Regime changes in Bitcoin GARCH volatility dynamics, Finance Research Letters 2019, with Bluteau & Ruede
- Generalized autoregressive score models in R: The GAS package, Journal of Statistical Software 2019, with Boudt & Catania [Code]
- Forecasting risk with Markov-switching GARCH models: A large-scale performance study, International Journal of Forecasting 2018, with Bluteau, Boudt & Catania
- Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation, Journal of Time Series Econometrics 2018, with Bluteau & Hoogerheide
- Beyond risk-based portfolios: Balancing performance and risk contributions in asset allocation, Quantitative Finance 2018, with Boudt & Nguyen
- The impact of parameter and model uncertainty on market risk predictions from GARCH-type models, Journal of Forecasting 2017, with Kolly & Trottier
- The impact of covariance misspecification in risk-based portfolios, Annals of Operations Research 2017, with Bolliger, Boudt & Gagnon-Fleury
- A new bootstrap test for multiple assets joint risk testing, Journal of Risk 2017, with Gatarek & Hoogerheide [Code]
- nse: Computation of numerical standard errors in R, Journal of Open Source Software 2017, with Bluteau [Code]
- RiskPortfolios: Computation of risk-based portfolios in R, Journal of Open Source Software 2017, with Boudt & Gagnon-Fleury [Code]
- Stress-testing with parametric models and Fully Flexible Probabilities, Wilmott 2017, with Bluteau
- Smart beta and CPPI performance, Finance 2016, with Boudt & Wauters
- Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling, Insurance and Risk Management 2016, with Guerrouaz & Rey
- Moments of standardized Fernandez-Steel skewed distributions: Applications to the estimation of GARCH-type models, Finance Research Letters 2016, with Trottier
- The economic benefits of market timing the style allocation of characteristic-based portfolios, North American Journal of Economics and Finance 2016, with Boudt & Wauters
- Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock price, Econometrics 2016, with Gatarek & Hoogerheide
- A note on jointly backtesting models for multiple assets and horizons, Wilmott 2016, with Guerrouaz & Hoogerheide
- Predicting market risk with density combination: An introduction, Wilmott 2016, with Kolly
- Implied expected returns and the choice of a mean-variance efficient portfolio proxy, Journal of Portfolio Management 2015, with Boudt
- Testing equality of modified Sharpe ratios, Finance Research Letters 2015, with Boudt
- Parametric stress-testing in non-normal markets via entropy pooling, Risk Magazine 2015, with Meucci
- GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecast, Economics Letters 2014, with Hoogerheide
- Quantitative portfolio construction and systematic trading strategies using factor entropy pooling, Risk Magazine 2014, with Colasante & Meucci
- Worldwide equity risk prediction, Applied Economics Letters 2013, with Hoogerheide
- Cross-sectional distribution of GARCH coefficients across S&P 500 constituents, Wilmott 2013, with Hoogerheide
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods, Computational Statistics & Data Analysis 2012, with Basturk, Hoogerheide & van Dijk
- Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?, Economics Letters 2012, with Corré & Hoogerheide
- An introduction to the Generalized Marginal risk, Wilmott 2012, with Keel
- Fully flexible extreme views, Journal of Risk 2011, with Keel & Meucci
- Generalized marginal risk, Journal of Asset Management 2011, with Keel
- Differential Evolution with DEoptim: An application to non-convex portfolio optimization, R Journal 2011, with Boudt, Carl, Mullen & Peterson
- DEoptim: An R package for global optimization by Differential Evolution, Journal of Statistical Software 2011, with Cline, Gil, Mullen & Windover [Code]
- Heuristic methods in finance, Newsletter American Statistical Association 2011, with Schumann
- Jump-diffusion calibration using Differential Evolution, Wilmott 2011, with Giraldo & Ospina
- Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R, R Journal 2010, with Hoogerheide [Code]
- AdMit: Adaptive mixtures of Student-t distributions, R Journal 2009, with Hoogerheide & van Dijk
- Adaptive mixture of Student-t distributions as a flexible distribution for efficient simulation: The R package AdMit, Journal of Statistical Software 2009, with Hoogerheide & van Dijk [Code]
- Bayesian estimation of a Markov-switching threshold GARCH model with Student-t innovations, Econometrics Journal 2009
- Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications, Lecture Notes in Economics and Mathematical Systems 2008, 612, Springer
- Tests d'arbitrage sur options: Une analyse empirique des cotations de market-makers, Bankers, Markets and Investors 2007
Impact
Awards
- Research impact award 2025, HEC Montréal
- Cascad best reproduced paper award, AFFI 2025, with Aymard & Cenesizoglu
- Open data quality award 2024, Canadian Open Data Society, with Guidotti
- Research award for associate professors 2024, HEC Montréal
- Award for teaching excellence for an associate professor 2022, HEC Montréal
- Best asset pricing paper award, AFFI 2022, with Barras, Gagliardini & Scaillet
- National Bank of Belgium research award 2020, with Bluteau, Boudt & Inghelbrecht
- Best paper 2018-2019, International Journal of Forecasting, with Bluteau & Boudt
- Swiss risk manager of the year 2018, Swiss Risk Association
- Projet pédagogique innovant 2017, 2018, Université de Neuchâtel
- Teaching award Distinction Socrate 2013, 2014, 2015, Laval University
- SAS/IIF research award 2014, with Kolly
- Runner-up, NYSE-Euronext prize 2008
- Chorafas prize 2008, University of Fribourg
Media
- Il n'y a rien de gratuit, La Presse, May 2026
- Quand l'IA vous aide à gérer votre patrimoine, Le Monde, December 2025
- Incertitude économique : la machine à voyager dans le temps, La Presse, February 2022
- Climate concerns and the green stock market, The New York Times, November 2021
- Mauvaise nouvelle pour le climat, bonne nouvelle pour la Bourse, Les Affaires, November 2021
Students
I supervise PhD students in finance, financial engineering, and data science, and MSc students at HEC Montréal for both theses and supervised projects, including projects with industry partners. Prospective students are welcome to get in touch with a short note on their interests and timeline.
Postdoctoral researchers
- Robust Estimation and Inference with High-Dimensional Time Series, Rosnel Sessinou, HEC Montréal, 2022–2024
- Media Bias and the Informational Efficiency of Capital Markets, Keven Bluteau, SNSF 191730, 2020–2021
PhD students
- The Importance of Empirical Choices: Three Essays on Retail Trading and Hedging Strategies, Clément Aymard (HEC Montréal, 2021–2026, co-supervised with Tolga Cenesizoglu)
- Three Essays on Price Formation and Liquidity in Financial Markets, Emanuele Guidotti (University of Neuchâtel, 2019–2023, co-supervised with Tim Kroencke)
- Sentiment and Econometrics: Toward a Unified Framework of Textual Sentiment Analysis for Economic and Financial Applications, Samuel Borms (University of Neuchâtel, 2017–2020)
- Modeling Latent Variables in Economics and Finance, Keven Bluteau (University of Neuchâtel, 2016–2019)
MSc theses
- Does Unexpected Change in Climate Risk Concerns Affects IV Surfaces Dynamic? A VAR Approach Using UMC Index, Shihao Tong (September 2025)
- Strategies to Monetize the Sentiment Extracted With NLP Techniques From Earnings Call Transcripts, Benjamin Séguin (September 2025)
- Can Top ESG Stocks Outperform the Investment Universe? Evidence From Mean-Variance Efficiency and Spanning Tests, Fatma Ammar (March 2025)
- Examining the Relation Between Stocks' Option-Implied Moments and Climate Change Concerns, Thomas Boyer (October 2024)
- Realized Variance Forecasting in the US Stock Market, Frédéric Rivard (September 2024)
- Impact of Climate Change Concerns on the Volatility of Green and Brown Stocks, Kriti Bhaya (September 2024)
- Weathering the Markets: Exploring the Empirical Relationship Between Climate Change Concerns and Commodity Futures Contracts, Michael Pimentel (March 2024)
- Regime-Switching Correlations with Exogenous Economic Variables, Paul Kelendji (March 2024, co-directed with Geneviève Gauthier)
- Comparaison de modèles factoriels linéaires et non-linéaires pour l'univers des actions du S&P 500, Frédéric Siino (October 2023)
- The Peer Performance Ratios in Cryptocurrency Markets, Abhishek Duggal (August 2023)
- Multi-Asset Approach to Realized Variance Forecasting: Empirical Evidence from the Canadian Dollar, Alexandre Turenne (August 2022)
- Application of Textual Sentiment Scores in Value-at-Risk models, Jaime Casigay (March 2022)
Supervised projects
- Développement d'un outil prédictif du risque de défaut sur comptes marginés, Audit Interne, Crédit International Entreprises, Banque Nationale du Canada, Tarak Ben Abda (January 2026)
- From Inference to Prediction: Design-Consistent Modeling of PISA 2022 Mathematics in Canada, Xun Lu (December 2025)
- How do Media Climate Concerns Relate to the Implied and Realized Moments of Stock Returns?, Mallory Godue (December 2025)
- Analyse prédictive de l'impact informationnel des guerres tarifaires et application aux stratégies de portefeuille sur le S&P 500, Zacharie Pineault (October 2025)
- Risk Management for an Equities Portfolio using Copula Models, Jérémie Couillard (September 2025)
- Predicting Crude Oil Futures Realized Volatility: Enhancements Using GWP and Custom EPU Indexes, Hair Albeiro Parra Barrera (September 2025)
- Structured Topic Modeling of Federal Open Market Committee (FOMC) Documents, Oï Shan Pang (September 2025)
- Retrospective and Online Change Point Analysis on the Market Sentiment Data, Dasen Ye (September 2025)
- Évaluation de l'impact de l'utilisation des données textuelles sur la prédiction du prix de l'or, Michel Caleb Waramou Sama (September 2025)
- Mean-Variance Spanning Test Implementation, Alessio Bressan (September 2025)
- Predicting the VIX Using Google Trends Data With Feature Engineering and XGBoost, Yubo Guo (September 2025)
- Évaluation du risque de liquidité : réplication du modèle de Jack Sarkissian (2016), Maman Mouzamil Maman Mahaman (September 2025)
- Développement d'outils d'évaluation stratégique de marché pour la R&D de matériaux, Frédéric Brochu (September 2025)
- Leveraging Data Analytics Methods and Business Intelligence Tools to Create a Private Debt Portfolio Performance Dashboard and Add Value to Innocap Clients, Marie-Eve Savard (September 2025)
- Predicting US Inflation Rate Using Machine Learning and Sentiment Analysis, Billy Vuong (May 2025)
- Optimisation de la rotation sectorielle par apprentissage automatique, Mathieu Verville (May 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, Jeanne Bourgault (March 2025)
- Risk Forecasting with GARCH Models: A Markov-Switching Approach to FX Volatility, Prateek Sinha (March 2025)
- Analyse de la performance des combinaisons de modèles de prévision de risques financiers, Hui Shi (March 2025)
- Forecasting CAD/USD Exchange Rate Using Econometric Models, Xi Chen (March 2025)
- Comparative Analysis of Volatility Prediction Models on Risk-Based Portfolio Allocation, Alyssa Oleas (March 2025)
- Leveraging Implied Volatility Insights for Portfolio Management, 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, 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, Leonardo Jose Aguilar Garza (October 2024)
- Optimization Tool for a Pension Plan's Real Estate Asset Allocation, 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, William Delisle (September 2024)
- Prédiction de la volatilité réalisée : une approche basée sur l'apprentissage automatique et le modèle GARCH, 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, Leo Ruether (March 2024)
- A Study of MSGARCH Models on High-Frequency Time Series, Massinissa Ioualitene (January 2024)
- Analyse de la relation entre le marché boursier et les surprises de bénéfices, Harold Herbert Nonguierma (January 2024)
- Implémentation d'un indice de stress financier au Canada, Anes Bellala (January 2024)
- Analyse fondamentale d'émetteurs des marchés émergents, Bochra Rabaa (January 2024)
- Speech Emotion Recognition, Mahdi Javadi (October 2023)
- Diversification intrasectorielle d'un portefeuille d'actions avec l'apprentissage non supervisé, Philippe Lacroix-Ouellette (August 2023)
- Comparaison de performance entre une VaR Harrell-Davis et une VaR paramétrique, Joseph Deborbe (August 2023)
- Validation et exploration de mesures de la probabilité de défaut, Omar Kamal (August 2023)
- Analyse multifactorielle par décomposition du R2 d'un portefeuille à la Caisse de dépôt et placement du Québec, Anas Zouabi (August 2023)
- Définition de la structure de couverture du portefeuille de garantie de taux des prêts hypothécaires à taux fixe, Raphaël Clavijo (August 2023)
- Comparaison des modèles de calcul des Greeks au sein d'une institution bancaire canadienne, Idriss Wannassy (August 2023)
- Applying Machine Learning Techniques to Earnings Reactions, Renaud Paquin (August 2023)
- Construction d'une stratégie systématique de Commodity Trading Advisors, Patrick Guillaume Bitote (August 2023)
- Étude comparative de différents modèles d'apprentissage automatique pour la stratégie de trading, Xinyi Wen (May 2023)
- Factor Heterogeneity of Green and Brown Stocks with Climate Change Concerns, Gabriel Lortie-Cloutier (May 2023)
- Approche alternative à la conception des buckets de risque pour le SIMM de l'ISDA, Xinran Hu (March 2023)
- L'apport des variables textuelles dans la prédiction des probabilités de défaut corporatives, Audrey Dupuis (March 2023, co-directed with Georges Dionne)
- Analyse de différentes techniques d'apprentissage machine pour la prédiction des rendements de cryptomonnaies, Nicolas Lambert (November 2022)
- Developing Category-specific Economic Policy Uncertainty Indices through Genetic Algorithm, Jun Wang (August 2022)
- Générateurs de scénarios économiques - Simulations des courbes de taux d'intérêt gouvernemental canadien et swap canadien, Sabrina Fernandes (August 2022)
- Décomposition du rendement d'un gestionnaire de portefeuille de dette immobilière au Canada, Lionel Elisée Balma (August 2022)
- Analyse par facteurs de risque de la VaR, Etienne Ménard-Bédard (March 2022)
- Indice d'incertitude pour les crypto-monnaies sur Twitter, Quentin Dutoit (March 2022)
- Outil d'aide à la recherche d'articles d'actualité pour les filiales d'Investissement Québec, Zakaria Rayadh (March 2022)
- Systematic Trading Strategy using ML techniques applied to the Wholesale Electricity Market, Kliti Qako (January 2022)
- Modélisation de données de revenus fixes pour un modèle de risque de crédit, Earvin Hemou (January 2022)
- Gestion et quantification des risques climatiques pour les institutions financières canadiennes, Emmie Grégoire-Salmon (November 2021)
- Topic Modeling in Academic Finance, Mohammad Abbas Firoz Meghani (September 2021)
- Integration of a textual index in the context of portfolio management, Mingliang Wei (September 2021)
- Modélisation de différents type de swaps, Alexis Heurtaux (September 2021)
- The Use of Change-point Methods on Textual Sentiment Data, Stanislav Davletgareyev (September 2021)
- GFS Trading Costs Model, Philippe Gadbois (May 2021)
- Outside View, Pascale Tessier-Rhéaume (May 2021)
- The peer performance adjusted for luck of Green firms and Brown firms, Thien Duy Tran (May 2021)
- Performance des modèles GARCH, GJR-GARCH et STGARCH pour la prévision de risque du Bitcoin, Denis Genest (March 2021)
- Construction d'un indice d'incertitude en matière de politique économique pour le Québec, Alaa Kassem (March 2021)
- Framework for Measuring the Impact of Online News or Posts on Entity Reputation Dimensions, Lea El Hélou (March 2021, co-directed with Juliana Schulz)
- Évaluation de modèles GARCH et de leurs combinaisons pour la prédiction de risque par la Valeur à Risque dans une étude de Simulation, Marie Guignane Tine (January 2021)
- L'effet de liquidité dans l'estimation du risque de marché des placements privés, Chloé Morin-Leclerc (September 2020)
Contact
david.ardia [at] hec.ca
Department of Decision Sciences, HEC Montréal, 3000 Côte-Sainte-Catherine Road, Montréal (Québec) H3T 2A7, Canada